Volatility of Financialized Commodity Markets

Event
  • DATE / TIME :
    2012•12•13    12:30 - 13:30
    Location :
    Maastricht

    Joint UNU-MERIT/Maastricht School of Governance Seminar: “Financialized Commodity Markets Volatility: An Edgeworth-Keynesian Appraisal”

    Prof. Bertrand Munier of the University of Paris 1 will discuss the exceptional degree of volatility reached by commodity prices (on food prices, for example), arguing that standard models of the neo-classical type are unfitted to explain the phenomenon. His talk will further argue that model closure has to be modified to yield some convincingly close price history to past observations.

    The essence and the results of a simulation model – the Momagri model – will then be presented. The modeling solution calls for some modular architecture, and hence for a reappraisal of the notion of market “resulting price”, which need not be any “equilibrium” price. A generalization to financial markets modeling can then be discussed.

    For more information, see the Calendar of Upcoming Events on the UNU-MERIT website.

    About the speaker

    Bertrand Munier is Emeritus Professor at the Sorbonne Graduate Business School, University of Paris 1. His research areas are global risk management, decision analysis under risk and uncertainty, and uncertainty management and modeling in agricultural commodities markets.