This Paper, which extends earlier work by Filardo and Guinigundo (2008) and Nelson (2008), reports on a survey conducted in 2007 on the communication practices of 32 members of the Central Bank Governance Network. The questionnaire sent to Network members was divided into two main parts. The...

Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of restaurant, fashion and financial market...

This paper examines how speculative futures trading affects commodity markets in terms of price impacts, volatility, and market quality. Contrary to the popular belief that speculators are responsible for the recent commodity price fluctuation, my analysis finds no evidence that speculators...

Current financialization process involving commodity markets spurred controversial issues among policy-makers, practitioners and scholars about spillover effects on the price levels, and inherent consequences on the whole economy. In this debate, it is possible to distinguish between two basic...

Many believe that index fund investment was the main driver of the 2007-2008 spike in commodity futures prices. One group of empirical studies finds evidence that commodity index investment directly or indirectly had a substantial impact on commodity futures prices. However, the data and methods...

We find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

We present a stock market model that quantitatively replicates the joint behavior of stock prices, trading volume and investor expectations. Stock prices in the model occasionally display belief-driven boom and bust cycles that delink asset prices from fundamentals and redistribute considerable...

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors...