What can we learn about a physical commodity by studying its hedging characteristics? We use a hedging study to shed light on important properties of ethanol (a developing market) and corn (a mature market). Our three primary innovations are empirical, with implications for all storable...

Nelson-Siegel factors extracted from the term structure of WTI oil futures predict subsequent WTI holding period returns both in-sample and out-of-sample. This predictability is not diminished by augmenting with macroeconomic indicators or oil market specific predictors. The term structure based...

One potential real effect of inflation is its influence on the dispersion of relative prices in the economy which affects economic efficiency and aggregate output. Using a novel data set for the US and UK and a VARMA asymmetric bivariate GARCH-M model of inflation and relative price dispersion,...

This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into cash flow and discount rate effects. Initial examination of the degree of exposure on industry returns produces results consistent with...

In this paper we investigate the stock market response to international monetary policychanges in the UK and Germany. Specifically, we analyse the impact of (un)expectedchanges in UK and German/Euro area policy rates on UK and German aggregate andsectoral equity returns in an event study. The...

This paper investigates the exposure of industry level portfolios to oil price shocks. Our paper utilizes the Campbell (1991) decomposition of stock returns based on a log-linear approximation to the discounted present value relation while allowing for time varying expected returns. The results...

The failure of decreases in oil prices to produce expansions that mirror the contractions associated with higher oil prices has been a topic of considerable interest. We investigate for the G-7 one explanation for this feature - the role of uncertainty about oil prices. In particular, we examine...

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...

The European Union’s Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission’s Climate Change Program aimed at reducing green- house gas emissions to eight percent below 1990 levels by 2012. A critically important element of the EU ETS is the establishment of a...