shares of futures speculators have destabilized commodity spot prices. We approximate conditional volatility and regress it … traded agricultural and energy commodities, we find no evidence that this is the case. We thus conclude that the increasing …

across different commodities and commodity groups. The results also suggest that the positions of futures traders for the … metals and energy commodities strongly respond to monetary policy shocks. The adjustment of the net long positions of hedgers … and speculators appears to be a channel through which the monetary policy shocks are propagated to commodity price changes. …

results support our model. In particular, they show that the derivative hedge theory is important for the explanation of the …We develop a model of the illiquidity transmission from spot to futures markets that formalizes the derivative hedge … theory proposed by Cho and Engle (1999). The model shows that spot market illiquidity does not translate one-to-one to the …

We develop a model of illiquidity transmission from spot to futures markets that formalizes the derivative hedge theory … support our model and show that the derivative hedge theory provides an explanation for the liquidity link between spot and …

-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases … certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account …. Certain effects of margin changes diffuse across related markets though. Our results are robust to endogenously set margins by …

-sharing between speculators and hedgers, and the price stability of 20 commodity futures markets. We find that margin increases … certain markets. The regulator should set margins by taking the heterogeneity of commodity futures markets into account …. Certain effects of margin changes diffuse across related markets though. Our results are robust to endogenously set margins by …

their longer term needs for hedging and speculation. We also find that the imbalance in demand and supply in the market can …

This paper examines the impact of management preferences on optimal futures hedging strategy and associated performance …. Applying an expected utility hedging objective, the optimal futures hedge ratio is determined for a range of preferences on … risk aversion, hedging horizon and expected returns. Empirical results reveal substantial hedge ratio variation across …