The dynamics between trading volume and volatility for seven agricultural futures markets are examined by drawing on the large literature for equity markets and by allowing for heterogeneity of investors beliefs proxied by open interest. In addition, time-varying effects on the transmission...

By adopting wavelet coherence analysis, we follow Frankel’s (1986) commodity price overshooting model to study the dynamic covariation between the expected real interest rates and six agricultural commodities’ real returns over the period from 2000:1 to 2018:7. We find that US unconventional...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

This paper uses Meta-Granger analysis to explain and summarize the mixed results in the literature on the impact of financial speculation on commodity prices. The sample covers 2,106 manually collected p-values from Granger causality (GC) tests reported in 54 prior studies. Our results show that...

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders' participation, historical returns and...

Many trends in the world wheat market might explain the extreme price movements on the U.S. wheat futures markets in 2007/08 and 2010. But the different price reactions on the three wheat futures markets raise doubt if only supply and demand moved wheat future prices. The question arises if the...

We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role...

​We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...

We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynamic 3-factor Nelson-Siegel model and its 4-factor Svensson extension and assumes for the latent level, slope and...