Showing 1 - 10 of 10,333
We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in the crude-oil market. We then develop a tractable...
Persistent link: https://www.econbiz.de/10012465916
We assess the CO<sub>2</sub> fertilization effect on US agriculture using spatially-varying CO<sub>2</sub> data from NASA's Orbiting Carbon Observatory-2 (OCO-2) satellite covering the majority of US cropland under actual growing conditions. This study complements the many CO<sub>2</sub> enrichment experiments that have found...
Persistent link: https://www.econbiz.de/10012659998
Extreme heat is the single best predictor of corn and soybean yields in the United States. While average yields have …
Persistent link: https://www.econbiz.de/10012462349
airborne sulfate levels and yields for corn and soybean. We estimate crop revenue losses for these two crops around $1 …
Persistent link: https://www.econbiz.de/10012496145
on soybean yield and its risk using USDA's 2018 ARMS Phase II Soybean Production Practices and Costs Report and Phase III … Soybean Costs and Returns Report. Incorporating drought occurrence in current year and previous 5 years into our analysis, we … yield and its risk are mixed. Under a drought condition, cover crops reduced soybean yield and increased yield variation …
Persistent link: https://www.econbiz.de/10013334341
The Green Paradox posits that fossil fuel markets respond to changing expectations about climate legislation, which limits future consumption, by shifting consumption to the present through lower present-day prices. We demonstrate that oil futures responded negatively to daily changes in the...
Persistent link: https://www.econbiz.de/10014544684
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 domestic welfare through two channels. First, by...
Persistent link: https://www.econbiz.de/10012463197
Historically, commodity futures have had excess returns similar to those of equities. But what should we expect in the future? The usual risk factors are unable to explain the time-series variation in excess returns. In addition, our evidence suggests that commodity futures are an inconsistent,...
Persistent link: https://www.econbiz.de/10012467463
fundamentals, focusing primarily on temperature. We show that when theory clearly identifies the fundamental, i.e., at temperatures …-thirds of the entire winter return variability occurs on these days. Moreover, when theory suggests no such relation, i.e., at … is good news for the theory and for market efficiency, not bad news. In terms of residual FCOJ return volatility, we also …
Persistent link: https://www.econbiz.de/10012469188
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/10012458772