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Investigating the impact of trade disruptions on price transmission in commodity markets : an application of threshold cointegration

Mann, Janelle; Brewin, Derek - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-7

Threshold cointegration is introduced as an econometric technique to model the impact of trade disruptions on spatial … trade disruptions on prices. The threshold cointegration technique that is employed is flexible in that it allows the number …. We innovate on the threshold cointegration technique by selecting a measure of trade disruptions as the threshold …

Persistent link: https://www.econbiz.de/10012628574

Pricing of Forwards and Other Derivatives in Cointegrated Commodity Markets

Benth, Fred Espen - 2014

We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves … cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility … cointegrated forward price dynamics using the Heath-Jarrow-Morton modelling idea. In this setting, the concept of cointegration is …

Persistent link: https://www.econbiz.de/10013044930

A cointegrated commodity pricing model

Nakajima, Katsushi; Ōhashi, Kazuhiko - In: The journal of futures markets 32 (2012) 11, pp. 995-1033

Persistent link: https://www.econbiz.de/10009697818

Does Futures Speculation Destabilize Spot Prices? New Evidence for Commodity Markets

Bohl, Martin T. - 2012

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

The Determinants of Extreme Commodity Prices

Kuralbayeva, Karlygash - 2012

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

Time-Variations in Commodity Price Jumps

Diewald, Laszlo - 2019

In this paper, we study jumps in commodity prices. Unlike assumed in existing models of commodity price dynamics, a simple analysis of the data reveals that the probability of tail events is not constant but depends on the time of the year, i.e. exhibits seasonality. We propose a stochastic...

Persistent link: https://www.econbiz.de/10012905261

Structural Model of Long-Term Commodity Price Dynamics

Ghoddusi, Hamed - 2015

This paper contributes to the theories commodity prices and exhaustible resources by examining simultaneous optimal resource extraction and dynamic capacity building. I analyze the ways in which random demand process and irreversible capacity options shape the long-term price and volatility path...

Persistent link: https://www.econbiz.de/10013034792

Proximity and price co-movement in West African rice markets

Mengel, Caroline; Cramon-Taubadel, Stephan von - 2014

This study explores the link between proximity and price cointegration between two markets, where proximity is captured … with variables for geographical, political and cultural distance. Linear and threshold cointegration is tested for a set of … proximity influences price transmission is determined in a second step with a multinomial logistic regression. The estimation …

Persistent link: https://www.econbiz.de/10010357875

Monetary policy, global liquidity and commodity price dynamics

Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben - 2010

This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...

Persistent link: https://www.econbiz.de/10010208787

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model

Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015

Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …

Persistent link: https://www.econbiz.de/10010464770

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