Econometric modelling of energy and soft commodity prices with applications

Completed

Other Cross-Cutting Technologies or Research(Energy system analysis)
Not Energy Related
Other Cross-Cutting Technologies or Research(Environmental, social and economic impacts)

Basic and strategic applied research

SOCIAL SCIENCES (Economics and Econometrics)

Not Cross-cutting

Dr S Satchell
Economics
University of Cambridge

Standard

ESRC

01 October 2003

30 September 2005

24 months

£88,886

No relevance to Underpinning Sectors

East of England

ESRC Energy

Dr S Satchell, Economics, University of Cambridge

Dr A Sancetta, Economics, University of Cambridge

Objectives not supplied

The behaviour of energy and soft commodity prices (e.g. sugar, cocoa, coffee, et cetera) should be of particular interest to financial economists. Financial economists have been concerned, usually, with the behaviour of stock prices, testing for market efficiency, risk premia and modelling prices under no arbitrage conditions. However, these analyses have been applied to the price of other assetswhose behaviour is expected to be considerably different without critically questioning the assumptions used. Until considerable effort is devoted to the study of these markets and their price movements, a theory which accounts for risk management, hedging and pricing of contingent contracts on energy and soft commodities cannot be properly developed. Our aim is to provide a complete study of energy and soft commodity prices based on empirical evidence, statistical modelling together with the relevant application to the estimation of risk and pricing of energy and soft commodity products (e.g. futures and options)

02/11/09