Narrow search
Showing 1 - 10 of 131
Cover Image
Futures Price Volatility in Commodities Markets : The Role of Short Term vs Long Term Speculation
Manera, Matteo - 2013
speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long …
Persistent link: https://www.econbiz.de/10013081164
Cover Image
Returns in Commodities Futures Markets and Financial Speculation : A Multivariate GARCH Approach
Manera, Matteo - 2013
CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in …
Persistent link: https://www.econbiz.de/10013091156
Cover Image
Understanding Dynamic Conditional Correlations between Commodities Futures Markets
Behmiri, Niaz - 2016
We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic...
Persistent link: https://www.econbiz.de/10012997240
Cover Image
Economic Impacts of El Niño Southern Oscillation : Evidence from the Colombian Coffee Market
Bastianin, Andrea - 2017
We develop a structural econometric model to study the impacts of El Niño Southern Oscillation (ENSO) on Colombian coffee production, exports and price. Our empirical specification is consistent with an economic model of the coffee market that, in the short-run, is characterized by a...
Persistent link: https://www.econbiz.de/10012967166
Cover Image
The Impacts of Oil Price Shocks on Stock Market Volatility : Evidence from the G7 Countries
Bastianin, Andrea - 2016
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10013001030
Cover Image
A Weekly Structural VAR Model of the US Crude Oil Market
Bastianin, Andrea; Manera, Matteo; Valenti, Daniele - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...
Persistent link: https://www.econbiz.de/10014083545
Cover Image
The Connectedness of Energy Transition Metals
Bastianin, Andrea; Casoli, Chiara; Galeotti, Marzio - 2023
We assess the degree of connectedness among 16 metals that are critical for the production of clean energy technologies. These commodities are the constituents of the Energy Transition Metals (ETMs) price index maintained by the International Monetary Fund and comprise base, precious, and minor...
Persistent link: https://www.econbiz.de/10014347032
Cover Image
How Does Stock Market Volatility React to Oil Shocks?
Bastianin, Andrea - 2015
We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...
Persistent link: https://www.econbiz.de/10013030218
Cover Image
Modelling Asymmetric Dependence Using Copula Functions : An Application to Value-at-Risk in the Energy Sector
Bastianin, Andrea - 2013
In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the...
Persistent link: https://www.econbiz.de/10013095821
Cover Image
Heterogeneous Beliefs, Regret, and Uncertainty : The Role of Speculation in Energy Price Dynamics
Joëts, Marc - 2014
This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme fluctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical...
Persistent link: https://www.econbiz.de/10013064133