Narrow search
Showing 1 - 10 of 8,006
Cover Image
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
Cover Image
Limits to Arbitrage and Hedging : Evidence from Commodity Markets
Acharya, Viral V. - 2011
Motivated by the literature on limits-to-arbitrage, we build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases (decreases) in producers' hedging demand (speculators' risk-capacity)...
Persistent link: https://www.econbiz.de/10013128612
Cover Image
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices
Bobenrieth H., Eugenio S. - 2013
High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are...
Persistent link: https://www.econbiz.de/10013082152
Cover Image
Cointegration and Tests of Present Value Models
Campbell, John Y. - 2010
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...
Persistent link: https://www.econbiz.de/10012763269
Cover Image
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 2010
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012763699
Cover Image
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
Cover Image
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
Cover Image
Term Structures of Asset Prices and Returns
Backus, David K. - 2016
We explore the term structures of claims to a variety of cash flows, namely, U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). The...
Persistent link: https://www.econbiz.de/10012994905
Cover Image
Risk Premia in Crude Oil Futures Prices
Hamilton, James D. - 2013
structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …
Persistent link: https://www.econbiz.de/10013081835
Cover Image
Sources of Entropy in Representative Agent Models
Backus, David K. - 2011
preferences, habits, and jumps. The metrics describe the pricing kernel's dispersion (the entropy of the title) and dynamics (time … dependence, a measure of how entropy varies over different time horizons). We show how each model generates entropy and time … approximations -- clarifies the mechanisms underlying these models. It also reveals, in some cases, tension between entropy, which …
Persistent link: https://www.econbiz.de/10013122464