Commodity Price Dynamics A Structural Approach [Hardcover]

This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them.This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail.This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail.Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders, and policy makers who want to better understand often puzzling  and extreme  movements in the prices of commodities from aluminum to oil to soybeans to zinc.Preface; 1. Introduction; 2. Storables modeling basics; 3. Continuously produced commodity price dynamics; 4. Empirical performance of the two-factor model; 5. Stochastic volatility; 6. Seasonal commodities; 7. Carbon markets; 8. Non-storable commodities.Craig Pirrong is one of the most thoughtful scholars working on commodity markets today and he combines an understanding of finance, statistics, and economics in a way that is rare. His book presents a focused and convincing message concerning the advantages of using a structural approach to modeling commodity prices. The interplay between modeling and empirical validation is excellent and provides considerable insight on how commodity prilc§