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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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Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices
Bobenrieth H., Eugenio S. - 2013
, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …
Persistent link: https://www.econbiz.de/10012459625
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Commodity Connectedness
Diebold, Francis X. - 2017
We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...
Persistent link: https://www.econbiz.de/10012454997
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The Financialization of Commodity Markets
Cheng, Ing-Haw - 2013
The large inflow of investment capital to commodity futures markets in the last decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows either did or did not cause a price...
Persistent link: https://www.econbiz.de/10012459020
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Commodity prices and markets : [NBER East Asia Seminar on Economics, volume 20 ; collection of papers that were presented at the 20th Annual East Asia Seminar on Economics (EASE) ;...
Itō, Takatoshi (contributor); Rose, Andrew (contributor) - 2011
relationship between trade and exchange rate volatility / Christian Broda and John Romalis -- Comments: Chaiyasit Anuchitworawong …
Persistent link: https://www.econbiz.de/10008909722
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Exchange Rate Dynamics Under Stochastic Regime Shifts : A Unified Approach
Froot, Kenneth A. - 1989
Techniques of regulated Brownian motion are used to analyze the behavior of the exchange rate when official policy reaction functions are subject to future stochastic changes. We examine exchange-rate dynamics in alternative cases where the authorities promise (i) to confine a floating rate...
Persistent link: https://www.econbiz.de/10012476221
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Estimating Dynamic Equilibrium Models with Stochastic Volatility
Fernandez-Villaverde, Jesus - 2012
We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …
Persistent link: https://www.econbiz.de/10012460260
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On The Behavior of Commodity Prices
Deaton, Angus - 1990
The classical theory of commodity price determination integrates myopic supply and demand on the one hand with … non-negative, this paper derives from the theory testable implications on the behavior of prices, and makes a first …
Persistent link: https://www.econbiz.de/10012475591
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Limits to Arbitrage and Hedging : Evidence from Commodity Markets
Acharya, Viral V. - 2011
Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk-capacity)...
Persistent link: https://www.econbiz.de/10012461784
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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10012459606