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This paper seeks to document and explain the effect of a commodity price shock on underlying core inflation, and how … across many countries there was a break in the response of core inflation to a commodity price shock. In an earlier period, a … shock to commodity prices would lead to a large and significant increase in core inflation, but in later periods, the effect …
Persistent link: https://www.econbiz.de/10013036232
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/10012947591
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the rapidly growing market shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it on expected and unexpected speculative open interest....
Persistent link: https://www.econbiz.de/10013112917
In this study, we comprehensively examine the volatility term structures in commodity markets. We model state-dependent spillovers in principal components (PCs) of the volatility term structures of different commodities, as well as that of the equity market. We detect strong economic links and a...
Persistent link: https://www.econbiz.de/10012858896
Several empirical studies report the existence of declining terms of trade between commodities and manufactures, supporting the Prebisch-Singer hypothesis. As globalization leads to greater integration of markets, we ask if in a fully integrated economy the terms of trade will display the same...
Persistent link: https://www.econbiz.de/10003277128
Fat-tailed commodity price innovations are well-documented in the literature and long recognized as disruptive for consumers and producers, yet little is known about what factors drive such extreme events. Utilizing a wide range of factors from the economics and finance literature and quantile...
Persistent link: https://www.econbiz.de/10013114046
investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive … against inflation in the United States and Canada. …
Persistent link: https://www.econbiz.de/10012886334
We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …
Persistent link: https://www.econbiz.de/10012842461
by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …
Persistent link: https://www.econbiz.de/10012241109
Chapter 1: Are Commodities a Good Hedge Against Inflation? -- Chapter 2: Precious Metals: The Bull Market that Faded … -- Chapter 3- The Market’s New Gold and the Promise of Bitcoin -- Chapter 4: Final Thoughts on Commodities, Crypto and Inflation. …This book challenges the notion that commodities are always good hedges against inflation, which is the conventional …
Persistent link: https://www.econbiz.de/10013431281