Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101005
Authors: 
Assa, Hirbod
Dabbous, Amal
Gospodinov, Nikolay
Year of Publication: 
2013
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2013-8
Abstract: 
This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity price dynamics. Incorporating this type of friction into the model is motivated by its ability to increase price stickiness which, gives rise to a higher degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by the simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices.
Subjects: 
commodity price determination
staggered pricing
high persistence
conditional heteroskedasticity
simulated method of moments
JEL: 
Q11
C15
E21
O13
G12
Document Type: 
Working Paper

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