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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
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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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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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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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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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Inventories and the Short-Run Dynamics of Commodity Prices
Pindyck, Robert S. - 1990
The idea that wages rise relative to alternatives as job seniority accumulates is the foundation of the theory of specific human capital, as well as other widely accepted theories of compensation. The fact that persons with longer job tenures typically earn higher wages tends to support these...
Persistent link: https://www.econbiz.de/10012475740
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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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Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives
Trolle, Anders B. - 2006
We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … stochastic volatility. The model features correlations between innovations to futures prices and volatility, quasi …
Persistent link: https://www.econbiz.de/10012465916
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Empirical Tests of the Green Paradox for Climate Legislation
Norman, Maya A.; Schlenker, Wolfram - National Bureau of Economic Research - 2024
The Green Paradox posits that fossil fuel markets respond to changing expectations about climate legislation, which limits future consumption, by shifting consumption to the present through lower present-day prices. We demonstrate that oil futures responded negatively to daily changes in the...
Persistent link: https://www.econbiz.de/10014544684
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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 competitive storage (speculation) under rational expectations on the other. Taking into account the fact that inventories mist; be non-negative, this paper derives from the theory...
Persistent link: https://www.econbiz.de/10012475591