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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/10013081835
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Are Commodity Futures Prices Barometers of the Global Economy?
Hu, Conghui - 2013
informational channel noise from futures market trading can feed back to the real economy …
Persistent link: https://www.econbiz.de/10013071915
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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/10013072871
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Effects of Index-Fund Investing on Commodity Futures Prices
Hamilton, James D. - 2014
The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....
Persistent link: https://www.econbiz.de/10013059085
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Financialization in Commodity Markets
Chari, Varadarajan V. - 2017
Recent experience has given rise to the financialization view: increased trading in commodity fu­tures markets leads to an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities with and without futures markets. The data do not...
Persistent link: https://www.econbiz.de/10012948088
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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/10012949432
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10013075857
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Dating the Integration of World Equity Markets
Bekaert, Geert - 2008
equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very …Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … appear comprehensive may have little impact on the functioning of the capital market if they fail to lead to foreign …
Persistent link: https://www.econbiz.de/10012774881
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012774886
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Macroeconomic Crises Since 1870
Barro, Robert J. - 2010
by at least 10%. The principal world economic crises ranked by importance are World War II, World War I and the Great … Depression, the early 1920s (possibly reflecting the influenza epidemic of 1918-20), and post-World War II events such as the …
Persistent link: https://www.econbiz.de/10012759348