Skip to main content

Testing rational expectations in primary commodity markets

Buy Article:

$47.00 plus tax (Refund Policy)

The standard method used to test the rational expectations hypothesis (REH) in primary commodity markets is by means of a structural approach. In this paper, a parsimonious vector error correction model in the price and stock equation is derived that maintains almost complete information of the underlying structural model. The empirical section utilizes 1955–2000 US copper data to investigate the properties of the model extended to the macroeconomic variables. The estimation results are statistically robust and are in keeping with economic theory. Three different results are found: (i) price adjustments depend on the short-run dynamic of the stock equation, whereas the long-run dynamic is statistically rejected; (ii) the over-identification restrictions, including the test for the REH, are not rejected; (iii) the forecast simulations on price are well performed.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
No Data/Media
No Metrics

Document Type: Research Article

Affiliations: 1: Department of Economics, University of Perugia, Via Pascoli 20, 06123, Perugia, Italy 2: Department of Economics, University of Tor Vergata, Via Columbia 2, 00133, Roma, Italy

Publication date: 2005-08-20

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more