Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …

Futures markets are a potentially valuable source of information about price expectations. Exploiting this information … has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

likely the consequence of heightened informational frictions and information discovery in more globalized and financialized …

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing … only if traders over- (under-) rely on public information with respect to optimal statistical weights. Both phenomena, in … uncertainty, over-reliance on public information obtains if noise trade displays low persistence. This defines a Keynesianʺ region …

. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model …