What explains price volatility changes in commodity markets? Answers from the world palm‐oil market⋆
研究棕榈油市场1818-1999年数据，发现短距离与长距离交易者预期叠加导致价格波动，模拟结果质疑贸易自由化必然降低波动性的观点。
Abstract What are the sources of commodity price volatility changes? Based on observation of the palm‐oil market (1818–1999). our hypothesis is that the superimposition of short‐distance operators located near the export supply, whose expectation horizon is limited to a few weeks, and long‐distance operators further from the export supply, whose expectation horizon exceeds six months to one year, is responsible for volatility changes and market instability. Because of the superimposition of expectations horizons, volatility grows along with the development of short‐distance trade. We support this hypothesis using a trader‐behavior model derived from Day and Huang [J. Econ. Behavior Org. 14 (1990) 299] and Day [Complex Economic Dynamics, Vol. I. MIT Press, Cambridge, MA]. Our simulation results challenge the argument that trade liberalization and market enlargement necessarily reduce commodity prices volatility.