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A weekly structural VAR model of the US crude oil market

Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022

We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia's invasion of Ukraine. The model is set identified with a...

Persistent link: https://www.econbiz.de/10013254444

Speculation and stabilization : classical, neo-classical, and Keynesian views

Orosel, Gerhard O. - 1986

Persistent link: https://www.econbiz.de/10003645376

Stock prices in a speculative market : the Chinese split-share reform

Beltratti, Andrea; Bortolotti, Bernardo; Caccavaio, Marianna - 2009

not properly react to unambiguous corporate actions. -- Speculation ; Chinese Stock Market ; Market segmentation ; Event …

Persistent link: https://www.econbiz.de/10008809692

Oil price dynamics, macro-finance interactions and the role of financial speculation

Morana, Claudio - 2012 - First draft December 2011; this draft February 2011

What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks … a much larger role for financial shocks than previously noted in the literature. -- Oil Price ; Financial speculation …

Persistent link: https://www.econbiz.de/10009506394

Big fish : oil markets and speculation

Cologni, Alessandro; Scarpa, Elisa; Sitzia, Francesco … - 2015

focused on the definition of speculation while others examined the relationship between oil prices and the behavior of trading … shale oil production, the importance of speculation in ensuring an equilibrium in the US crude oil market has consequently …

Persistent link: https://www.econbiz.de/10010532119

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt … four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long … speculators over total open interest in future markets, which proxy for long term speculation, and scalping, which proxies for …

Persistent link: https://www.econbiz.de/10009756298

The effects of margin changes on commodity futures markets

Daskalaki, Charoula; Skiadopoulos, George - 2014 - This draft: 24 October 2014

In light of the recently passed 2010 Dodd-Frank Act, we assess the effect of margin changes on prices, the risk-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases decrease the rate at which prices change, yet they...

Persistent link: https://www.econbiz.de/10010472794

Are derivatives dangerous? : A literature survey

Capelle-Blancard, Gunther - 2010

Persistent link: https://www.econbiz.de/10008748169

Speculative attacks : panic or arbitrage

Bødskov Andersen, Allan - 1999

Persistent link: https://www.econbiz.de/10001453870

Returns in commodities futures markets and financial speculation : a multivariate GARCH approach

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … ; Futures Markets ; Financial Speculation ; Multivariate GARCH …

Persistent link: https://www.econbiz.de/10009535531