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Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices
Bobenrieth H., Eugenio S. - 2013
High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are...
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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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 testable implications on the behavior of prices, and makes a first …
Persistent link: https://www.econbiz.de/10012475591
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The Financialization of Commodity Markets
Cheng, Ing-Haw - 2013
about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether … financial investors affect risk sharing and information discovery in commodity markets. We argue that financialization has …
Persistent link: https://www.econbiz.de/10012459020
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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 …
Persistent link: https://www.econbiz.de/10012475740
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The Excess Co-Movement of Commodity Prices
Pindyck, Robert S. - 1988
This paper tests and confirms the existence of a puzzling phenomenon - the prices of largely unrelated raw commodities have a persistent tendency to move together. We show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current,...
Persistent link: https://www.econbiz.de/10012476393
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Financialization in Commodity Markets
Chari, V.V. - 2017
The financialization view is that increased trading in commodity futures markets is associated with increases in the …
Persistent link: https://www.econbiz.de/10012453945
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Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices
Frankel, Jeffrey A. - 2013
The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants'...
Persistent link: https://www.econbiz.de/10012459199
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Informational Frictions and Commodity Markets
Sockin, Michael - 2013
This paper develops a model to analyze information aggregation in commodity markets. Through centralized trading, commodity prices aggregate dispersed information about the strength of the global economy among goods producers whose production has complementarity, and serve as price signals to...
Persistent link: https://www.econbiz.de/10012459755
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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