Modelling market fundamentals: A model of the aluminium market
提出一种改进的理性预期下初级商品市场建模方法，以全球铝市场为例，将价格和库存表示为反映市场供需平衡的基本面变量，并允许联合估计生产、消费、库存需求和价格方程。
Abstract The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption ‘surprises’ (i.e. the innovations on the equations). Using the world aluminium market, we show how this approach can be modified so that both the price and stock can be written in terms of one or more market ‘fundamentals’ which reflect the supply—demand balance on the market. This approach allows joint estimation of production, consumption, stock demand and price equations subject to cross‐equation restrictions. It may be seen as a formalization of the approach adopted by metals industry analysts.