The role of storage in commodity markets: Indirect inference based on grain data

• 成果类型: Article
• 署名作者: Gouel, Christophe; Legrand, Nicolas
• 署名单位: AgroParisTech; INRAE; Universite Paris Saclay; Virginia Polytechnic Institute & State University; Institut Agro; INRAE
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2329
• 发表日期: 2025
• 页码: 705-747
• 关键词: Commodity price dynamics; indirect inference; Monte Carlo analysis; storage; C51; C52; Q11

摘要

We develop an indirect inference approach relying on a linear supply and demand model serving as an auxiliary model to provide the first full empirical test of the rational expectations commodity storage model. We build a rich storage model that incorporates a supply response and four structural shocks and show that exploiting information on both prices and quantities is critical for relaxing previous restrictive identifying assumptions and assessing the empirical consistency of the model's features. Finally, we carry out a structural estimation on the aggregate index of the world's most important staple food products. Our estimations show that supply shocks are the main drivers of food market dynamics and that our storage model is consistent with most of the moments in the data, including the high price persistence so far the subject of a long-standing puzzle.