Reference : Commodities Inventory Effect
E-prints/Working papers : Already available on another site
Business & economic sciences : Finance
http://hdl.handle.net/10993/13659
Commodities Inventory Effect
English
Carpantier, Jean-Francois mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Center for Research in Economic Analysis (CREA) >]
Dufays, Arnaud mailto []
2013
No
[en] Does commodity price volatility increase when inventories are low? We are the first ones to document this relationship. To that aim, we estimate asymmetric volatility models for a large set of commodities over 1994-2011. Since inventories are hard to measure, especially for high frequency data, we use positive return shocks as a new original proxy for inventories and find that asymmetric GARCH models reveal a significant inventory effect for many commodities. The results look robust. They hold if we allow the unconditional variance to vary over time and if we relax the parametric form.
http://hdl.handle.net/10993/13659
http://wwwen.uni.lu/content/download/61993/723776/file/2013-07%20-%20Commodities%20Inventory%20Effect.pdf

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