This paper shows that extreme energy price changes, located in the 10% tails of the distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to 2012. Using multinominal logit regressions, we find that the coincidence of such tail events cannot be explained solely...

The financial development of agricultural markets is not recent. But, starting early 2000, a large amount of investments on commodity markets, including agriculture, have been realized using innovative instruments. And in 2007-08, the continuous increase of investment was simultaneous with...

We examine the relation among daily returns to crude oil prices, equity prices, and commodity markets by modifying previous efforts in two important ways; expanding the model to include the equity price for an oil-producing firm, ConocoPhillips, which ameliorates omitted variable bias and...

This study brings fresh data to the highly-charged debate about the price impact of long-only index investment in energy futures markets. We use high frequency daily position data for NYMEX crude oil, heating oil, RBOB gasoline, and natural gas that are available from a representative large...

Simulations from a standard two-region model where producers respond to changes in interest rates are better able to match observed data than an identical model without supply-side responses. This indicates that incorporating the supply-side behaviour of oil producers is quantitatively important...

Using proprietary energy futures position data, we provide evidence that mean hedger profits are negative while speculator (especially hedge fund) profits are positive; that speculators and hedgers who hold long (short) positions when likely hedgers in aggregate are net short (long) have higher...