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Chari, V.V. - 2017

growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased …

Persistent link: https://www.econbiz.de/10012453945

Are Commodity Futures Prices Barometers of the Global Economy?

Hu, Conghui - 2013

This paper analyzes whether commodity futures prices traded in the United States reveal information relevant to stock prices of East Asian economies including China, Japan, Hong Kong, South Korea, and Taiwan. We find significant and positive predictive powers of overnight futures returns of...

Persistent link: https://www.econbiz.de/10012458956

The Predictive Content of Commodity Futures

Chinn, Menzie D. - 2010

This paper examines the relationship between spot and futures prices for a broad range of commodities, including energy, precious and base metals, and agricultural commodities. In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot...

Persistent link: https://www.econbiz.de/10012462821

Why Do Hedgers Trade So Much?

Cheng, Ing-Haw - 2013

Futures positions of commercial hedgers in wheat, corn, soybeans and cotton fluctuate much more than expected output. Hedgers' short positions are positively correlated with price changes. Together, these observations raise doubt about the common practice of categorically classifying trading by...

Persistent link: https://www.econbiz.de/10012458992

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/10012459020

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/10012454997

Commodity Price Forecasts, Futures Prices and Pricing Models

Cortazar, Gonzalo - 2016

Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures...

Persistent link: https://www.econbiz.de/10012455689

Was This Time Different? Fiscal Policy in Commodity Republics

Céspedes, Luis Felipe - 2013

We revisit the issue of fiscal procyclicality in commodity-rich nations -commodity republics in the nomenclature of this paper. Since commodity prices are plausibly a main driver of fiscal policy outcomes in these countries, we focus on the behavior of fiscal variables across the commodity...

Persistent link: https://www.econbiz.de/10012458915

Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices

Bobenrieth H., Eugenio S. - 2013

, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market …

Persistent link: https://www.econbiz.de/10012459625

Biofuels, Binding Constraints and Agricultural Commodity Price Volatility

Abbott, Philip - 2013

corn, contributing to both higher prices and greater price volatility. But turbulence in recent economic events have caused … ways that are observable in data. Price volatility and "subsidy incidence" also depend on which regime is in place. Simple … differences in variations of corn prices versus energy prices. Apparent price volatility seems due to mechanism switching and to …

Persistent link: https://www.econbiz.de/10012459788