Munich Personal RePEc Archive

Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio

Bastourre, Diego (2008): Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio.

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Abstract

Commodity prices have been growing fast in the last few years and this has caused countless economic changes worldwide. This paper looks for a place in this topic offering a smooth transition vector autoregressive model whose motivation is rooted in the heterogeneous agent based models literature. The econometric methodology aims at identifying both those variables that influence prices in the long run –obtaining in this way an “equilibrium” or “fundamental” price, and the mechanisms that start, strengthen and eventually correct short run deviations with respect to that equilibrium. The empirical results suggest that current peaks of commodities should be carefully treated. Particularly, those records levels should not been automatically taken for granted as permanent prices for the near future.

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