首页|Speed of adjustment in energy and metal prices: Evidence from India
Speed of adjustment in energy and metal prices: Evidence from India
扫码查看
点击上方二维码区域，可以放大扫码查看
原文链接
NSTL
Elsevier
? 2022 Elsevier LtdIn this paper, we empirically estimate the time-varying speed of adjustment (SOA) in commodity (crude oil, natural gas, aluminium, copper and zinc) prices in the Indian context. Using a price adjustment model based upon the theory of storage, we also investigate the factors affecting the speed of adjustment in commodity pricing. We further argue that the commodity prices exhibit bubbles similar to asset price bubbles. Our results indicate that the SOA for energy prices is around 41.8% while it is around 31.6% for metals’ prices. Our results further indicate that on an average, during bubbles the SOA is lower than days with no bubbles. Finally, we show that bubbles help explain 4.2%, 6.1%, and 3.8%, and of the SOA for aluminium, oil, and gas prices, respectively. As a measure of robustness, we conduct the same analysis on the global data and show that our results in the global context are qualitatively similar to those reported for the Indian context. Further, our results are also robust to a range of additional tests.
BubblesEnergy pricesIndiaMetal pricesSpeed of adjustmentTheory of storage
Kumar S.
展开 >
IBS Hyderabad (ICFAI Foundation for Higher Education)
NSTL
Elsevier
