The Simple Economics of Commodity Price Speculation

• 成果类型: Article
• 署名作者: Knittel, Christopher R.; Pindyck, Robert S.
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140033
• 发表日期: 2016
• 页码: 85-110
• 关键词: crude-oil; DYNAMICS; MARKET; inventories; futures; demand

摘要

The price of crude oil never exceeded $40 per barrel until mid-2004. By July 2008 it peaked at $145 and by late 2008 it fell to $30 before increasing to $110 in 2011. Are speculators partly to blame for these price changes? Using a simple model of supply and demand in the cash and storage markets, we determine whether speculation is consistent with data on production, inventory changes, and convenience yields. We focus on crude oil, but our approach can be applied to other commodities. We show speculation had little, if any, effect on oil prices.