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The Predictive Content of Energy Futures : An Update on Petroleum, Natural Gas, Heating Oil and Gasoline

Chinn, Menzie D. - 2005

This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline …

Persistent link: https://www.econbiz.de/10012467654

Effects of Index-Fund Investing on Commodity Futures Prices

Hamilton, James D. - 2014

The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....

Persistent link: https://www.econbiz.de/10012458772

Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?

Borenstein, Severin - 1992

Our empirical investigation confirms the common belief that retail gasoline prices react more quickly to increases in … competitive spot market for gasoline, perhaps reflecting inventory costs. Wholesale gasoline prices, however, exhibit no asymmetry … this probably reflects short run market power among retail gasoline sellers …

Persistent link: https://www.econbiz.de/10012474832

Risk Premia in Crude Oil Futures Prices

Hamilton, James D. - 2013

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their...

Persistent link: https://www.econbiz.de/10012459606

The Predictive Content of Commodity Futures

Chinn, Menzie D. - 2010

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot...

Persistent link: https://www.econbiz.de/10012462821

Are Commodity Futures Prices Barometers of the Global Economy?

Hu, Conghui - 2013

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of...

Persistent link: https://www.econbiz.de/10012458956

Annals of econometrics: forecasting and empirical methods in finance and macroeconomics

Diebold, Francis X. (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001617180

Predicting the Oil Market

Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry - National Bureau of Economic Research - 2021

We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...

Persistent link: https://www.econbiz.de/10012660057

Designing Fuel-Economy Standards in Light of Electric Vehicles

Gillingham, Kenneth - National Bureau of Economic Research - 2021

Electric vehicles are declining in cost so rapidly that they may claim a large share of the vehicle market by 2030. This paper examines a set of practical regulatory design considerations for fuel-economy standards or greenhouse gas standards in the context of highly uncertain electric vehicle...

Persistent link: https://www.econbiz.de/10012599357

Automobile Prices and Quality : Did the Gasoline Price Increase Change Consumer Tastes in the U.S.?

Ohta, Makoto - 1983

Did the 1973 and 1979 gasoline price rises change consumer views about the relative quality of different cars? This … hedonic model that takes gasoline costs into account is developed and some of its theoretical implications are outlined … to analyze the prices of U.S. passenger cars in the used market during 1970-1981. If one does not take gasoline costs …

Persistent link: https://www.econbiz.de/10012477888

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