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Financialization in Commodity Markets
Chari, V. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012947591
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Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation
Manera, Matteo - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …
Persistent link: https://www.econbiz.de/10013081164
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Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation
Manera, Matteo - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …
Persistent link: https://www.econbiz.de/10013079017
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Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation
Manera, Matteo - 2013
This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …
Persistent link: https://www.econbiz.de/10013080741
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Speculation in the Oil Market
Juvenal, Luciana - 2012
The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price comovement among different commodities. We assess whether speculation in the oil market played a role in driving this salient empirical pattern. We identify oil shocks from a large...
Persistent link: https://www.econbiz.de/10013107787
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Financialization in Commodity Markets
Chari, Varadarajan V. - 2017
an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities …
Persistent link: https://www.econbiz.de/10012948088
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Financialization in Commodity Markets
Chari, V.V. - 2017
growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …
Persistent link: https://www.econbiz.de/10012453945
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Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets
Bohl, Martin T. - 2012
shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it …-periods, and document whether the speculative impact on conditional volatility has increased. However, with respect to six heavily …
Persistent link: https://www.econbiz.de/10013112917
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Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael; Radalj, Kim - 2013
Persistent link: https://www.econbiz.de/10009784945
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A Staggered Pricing Approach to Modeling Speculative Storage : Implications for Commodity Price Dynamics
Assa, Hirbod; Dabbous, Amal; Gospodinov, Nikolaj - 2015
This paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity...
Persistent link: https://www.econbiz.de/10014048922