This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short...

In this paper, I investigate which commodity disturbances are significant in regards to a country's business cycle. I develop a Small Open New Keynesian model that is estimated for twenty-three countries using nineteen primary commodities within the energy, metal, timber, rubber, cotton and food...

One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities....