an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

The classical theory of commodity price determination integrates myopic supply and demand on the one hand with … non-negative, this paper derives from the theory testable implications on the behavior of prices, and makes a first …

structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

domestic welfare through two channels. First, by reducing export income volatility and allowing for a smoother consumption path …