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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 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
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
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
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 "spread" 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 induce...
Persistent link: https://www.econbiz.de/10012477190
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/10012473491
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
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
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/10012456513
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/10012459606