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Reviving the competitive storage model : a holistic approach to food commodity prices

Author: Yanliang Miao; Weifeng Wu; Norbert Funke; International Monetary Fund,
Publisher: [Washington, D.C.] : International Monetary Fund, ©2011.
Series: IMF working paper, WP/11/64.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
Summary:
We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand trends, shocks to the yield, and time-varying interest rates. While the computational burden increases exponentially, the  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Funke, Norbert.
Reviving the Competitive Storage Model: A Holistic Approach to Food Commodity Prices.
Washington : International Monetary Fund, ©2011
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Yanliang Miao; Weifeng Wu; Norbert Funke; International Monetary Fund,
ISBN: 1283555646 9781283555647 9781462352579 146235257X
OCLC Number: 742338305
Description: 1 online resource (48 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; 1. Introduction; 2. Empirical Motivation: Factors That Affect Food Prices; 2.1 Supply: Production and Storage; 2.2 Demand: Consumption and Storage; 2.3 Other Factors; 3. How Commodity Prices Are Determined; 3.1 The Prototype Competitive Storage Model; 3.2 The Augmented Model; 4. Matching Theory And Data; 4.1 The Method of Simulated Moments Estimation; 4.2 Comparative Statics; 4.2.1 The Effect of Output Trend; 4.2.2 The Effect of Demand Trend; 4.2.3 The Effect of Yield Shocks; 4.2.4 The Effect of Interest Rates. 4.2.5 The Effect of Depreciation Rates4.2.6 The Effect of Consumption Elasticity; 4.3 Overall Effects; 4.4 The Role of Storage; 4.5 Other Food Commodities; 5. Conclusion; A Data; B The Endogenous Grid Points Algorithm; C Method of Simulated Moments; Footnotes.
Series Title: IMF working paper, WP/11/64.
Responsibility: Yanliang Miao, Weifeng Wu, and Norbert Funke.

Abstract:

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand trends, shocks to the yield, and time-varying interest rates. While the computational burden increases exponentially, the augmented model succeeds in replicating all four key patterns of food commodity prices. Our simulation and comparative statics also show that (i) the long-run declining trend of food prices may come to a halt or even reverse due to the shifting balance between supply and demand; (ii) short-run price fluctuations are mainly attributable to sizeable, though low-probability, shocks to output such as inclement weather; and (iii) the impact of monetary policy, though small in normal times, is nonlinear and asymmetric, and can become large if the real rate passes a certain threshold.

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