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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

Why Do Hedgers Trade so Much?

Cheng, Ing-Haw - 2013

common practice of categorically classifying trading by hedgers as hedging while trading by speculators as speculation, as …

Persistent link: https://www.econbiz.de/10013072576

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

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

Momentum Crashes

Daniel, Kent - 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

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

Carry Trade and Systemic Risk : Why are FX Options so Cheap?

Caballero, Ricardo J. - 2013

diversified portfolios. In contrast, hedging the carry with exchange rate options produces large returns that are not a …

Persistent link: https://www.econbiz.de/10013089284

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

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

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