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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
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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/10012459625
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Informational Frictions and Commodity Markets
Sockin, Michael - 2013
This paper develops a model to analyze information aggregation in commodity markets. Through centralized trading, commodity prices aggregate dispersed information about the strength of the global economy among goods producers whose production has complementarity, and serve as price signals to...
Persistent link: https://www.econbiz.de/10012459755
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Inventories and the Short-Run Dynamics of Commodity Prices
Pindyck, Robert S. - 1990
The idea that wages rise relative to alternatives as job seniority accumulates is the foundation of the theory of …
Persistent link: https://www.econbiz.de/10012475740
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Financialization in Commodity Markets
Chari, V.V. - 2017
The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more...
Persistent link: https://www.econbiz.de/10012453945
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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
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On The Behavior of Commodity Prices
Deaton, Angus - 1990
The classical theory of commodity price determination integrates myopic supply and demand on the one hand with … competitive storage (speculation) under rational expectations on the other. Taking into account the fact that inventories mist; be … non-negative, this paper derives from the theory testable implications on the behavior of prices, and makes a first …
Persistent link: https://www.econbiz.de/10012475591
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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/10012461784
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Price Destabilizing Speculation : The Role of Strategic Limit Orders
Banerjee, Suman; Jagannathan, Ravi; Wang, Kai - National Bureau of Economic Research - 2023
Using a two-period model of a commodity market with a large number of atomistic consumers and two strategic sellers, we show that a speculator with access to storage can lower the market price while buying and raise the price while selling by clever use of limit, stop-loss, and market orders....
Persistent link: https://www.econbiz.de/10013537722
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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/10012458772