Expectations about future economic conditions are important determinants of commodity prices. This paper presents a relatively simple model that makes futures prices for corn a function of expected production and inventories and of variables that account for demand shifts. The intent is to...

The functioning of commodity markets has changed related to processes of financialization that involve two major developments - the rise of financial interest on commodity derivative markets through the increasing presence of financial investors and the changing business models of international...

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...

Der vorliegende Beitrag untersucht den Zusammenhang zwischen der gestiegenen Bedeutung der Finanzmärkte für den Rohstoffhandel und den Preissteigerungen bei Rohstoffen in den letzten Jahren. Kernthese ist, dass das Auftreten von Index-InvestorInnen auf den Rohstoff-Terminmärkten die relativen...

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

The financialisation of commodity derivative markets, reflected in the increased presence of financial investors, and its effects on commodity prices and the fundamental roles of these markets, i.e. price discovery and price risk management for commercial traders, have been controversially...