Price formation in commodity markets
构建了一个理论一致的可储存商品市场模型，利用误差修正机制和理性预期刻画需求与库存行为，并通过样本外预测检验证明该模型比纯时间序列模型更有效，有助于理解大宗商品市场的关键行为关系。
Abstract This paper develops a theory‐consistent market model for storable commodities and illustrates its characterization of the data‐generating process for a set of major traded commodities. The dynamics of the system incorporate recent advances in modelling techniques. Cointegrated variables in the demand functions are represented by the error correction mechanism (ECM), and expected prices in the stock demand relationship are generated by a rational expectations process. The outside‐sample performance of the model is tested against the pure time‐series model used to formulate expected prices, and is shown to have a smaller mean square error than that of the time‐series model. Thus the model provides comparatively efficient forecasts and, unlike models constructed in their reduced form, permits consideration of key behavioural relationships in commodity markets.