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Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
consistent with the claim that index-fund investing has become more important relative to commerical hedging in determining the …
Persistent link: https://www.econbiz.de/10013081835
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Limits to Arbitrage and Hedging : Evidence from Commodity Markets
Acharya, Viral V. - 2011
speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in … producers' hedging demand (speculators' risk-capacity) increase hedging costs via price-pressure on futures, reduce producers … associated with producer hedging demand rises when speculative activity reduces. We conclude that limits to financial arbitrage …
Persistent link: https://www.econbiz.de/10013128612
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Macro-Hedging for Commodity Exporters
Borensztein, Eduardo - 2010
This paper uses a dynamic optimization model to estimate the welfare gains of hedging against commodity price risk for … commodity-exporting countries. We show that the introduction of hedging instruments such as futures and options enhances …
Persistent link: https://www.econbiz.de/10013150436
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Momentum Crashes
Daniel, Kent D. - 2015
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10013032704
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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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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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Are Windfalls a Curse? A Non-Representative Agent Model of the Current Account and Fiscal Policy
Tornell, Aaron; Lane, Philip R. - 2021
In several countries temporary terms of trade improvements have led to a deterioration of the current account. Furthermore, many of these countries failed to attain greater post-boom growth rates. The point we make is that the structure of the fiscal process is critical in determining outcomes....
Persistent link: https://www.econbiz.de/10013237941
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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns
Getmansky Sherman, Mila - 2010
The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...
Persistent link: https://www.econbiz.de/10012762841
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10013224964
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Lags, Costs, and Shocks : An Equilibrium Model of the Oil Industry
Bornstein, Gideon - 2017
We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model of the oil industry with two alternative market structures. In the first, all firms are competitive. In the second, OPEC firms act as a cartel. This effort is a first step...
Persistent link: https://www.econbiz.de/10012955791