Global Commodity Issues (Editor's Choice) eJournal最新文献

International Oil Market Risk Anticipations and the Cushing Bottleneck: Option-Implied Evidence 国际石油市场风险预期与库欣瓶颈:期权隐含证据

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2019-08-20 DOI: 10.2139/ssrn.2840958

Marie‐Hélène Gagnon, G. Power

引用次数: 5

Can Investors Hedge Energy Risk? Evidence from Asia 投资者能否对冲能源风险?来自亚洲的证据

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2017-05-03 DOI: 10.2139/ssrn.2962249

J. Batten, Harald Kinateder, P. Szilagyi, N. Wagner

引用次数: 0

Mean-Reverting Statistical Arbitrage in Crude Oil Markets 原油市场的均值回归统计套利

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2017-04-10 DOI: 10.2139/ssrn.2949716

Viviana Fanelli

{"title":"Mean-Reverting Statistical Arbitrage in Crude Oil Markets","authors":"Viviana Fanelli","doi":"10.2139/ssrn.2949716","DOIUrl":"https://doi.org/10.2139/ssrn.2949716","url":null,"abstract":"In this paper, we introduce the concept of statistical arbitrage through the definition of a trading strategy that captures persistent anomalies in long-run relationships among assets. We devise a methodology to identify and test mean-reverting statistical arbitrage, and to develop trading strategies. We empirically investigate the existence of statistical arbitrage opportunities in crude oil markets. In particular, we focus on long-term pricing relationships between the West Texas Intermediate crude oil futures and a so-called statistical portfolio, composed by other two crude oils, Brent and Dubai. Firstly, the cointegration regression is used to track the persistent pricing equilibrium, and mispricings arise when West Texas Intermediate crude oil price diverges from the statistical portfolio value. Secondly, we verify that mispricing dynamics revert back to equilibrium with a predictable behaviour, and we exploit this stylized fact by applying the trading rules commonly used in equity markets to the crude oil market. The trading performance is measured by three specific profit indicators on out-of-sample data. Lastly, we use a Monte Carlo simulation approach to develop a model for forecasting the expected Value at Risk of the adopted trading strategy over an established holding period.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131814382","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean 协整商品会一起泡沫吗?猪、玉米和大豆的案例

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2017-02-09 DOI: 10.2139/ssrn.2914152

Christos Alexakis, Guillaume Bagnarosa, M. Dowling

引用次数: 12

Long-Term Swings and Seasonality in Energy Markets 能源市场的长期波动和季节性

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2016-06-01 DOI: 10.2139/ssrn.2788176

Manuel Moreno, A. Novales, Federico Platania

引用次数: 14

Turbulent Times: Uncovering the Origins of US Natural Gas Price Fluctuations Since 1993 动荡的时代:揭示1993年以来美国天然气价格波动的根源

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2016-02-12 DOI: 10.2139/ssrn.2738089

S. Wiggins, Xiaoli L. Etienne

{"title":"Turbulent Times: Uncovering the Origins of US Natural Gas Price Fluctuations Since 1993","authors":"S. Wiggins, Xiaoli L. Etienne","doi":"10.2139/ssrn.2738089","DOIUrl":"https://doi.org/10.2139/ssrn.2738089","url":null,"abstract":"In this paper, we investigate supply and demand shocks in the US natural gas market, focusing on how the effects of these shocks have changed over time. Using a sign-identified structural vector autoregression (SVAR) model that allows for both time-varying parameters and stochastic volatility, we decompose the real price of natural gas into supply shocks, aggregate demand shocks driven by changes in the US economic activity, precautionary inventory demand in anticipation of changes in future demand-and-supply conditions, and residual demand shocks not otherwise accounted for by the previous three shocks. Using quarterly data from 1976 to 2015, we find that an unanticipated supply disruption raises natural gas prices, reduces the aggregate economic demand, and lowers the precautionary inventory demand, while negative aggregate demand shocks, on the other hand, depress natural gas prices, reduce natural gas production, and increase precautionary inventory demand. We also find that following a negative precautionary inventory demand shock, aggregate demand driven by real economic activity declines marginally, and the marketed natural gas production and real prices decrease as well. Our results further suggest that such impact responses have evolved considerably over time with changing market conditions.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"158 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124710086","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us 四十年的石油价格波动:为什么石油价格仍可能让我们感到惊讶

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2016-01-01 DOI: 10.2139/ssrn.2714319

C. Baumeister, L. Kilian

引用次数: 386

China: Credit, Collateral, and Commodity Prices 中国:信贷、抵押品和商品价格

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2015-12-30 DOI: 10.2139/ssrn.2709295

S. Roache, M. Rousset

引用次数: 10

Price and Volatility Transmissions between Natural Gas, Fertilizer, and Corn Markets 天然气、化肥和玉米市场之间的价格和波动传输

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2015-10-30 DOI: 10.2139/ssrn.2684047

Xiaoli L. Etienne, Andres A. Trujillo‐Barrera, S. Wiggins

{"title":"Price and Volatility Transmissions between Natural Gas, Fertilizer, and Corn Markets","authors":"Xiaoli L. Etienne, Andres A. Trujillo‐Barrera, S. Wiggins","doi":"10.2139/ssrn.2684047","DOIUrl":"https://doi.org/10.2139/ssrn.2684047","url":null,"abstract":"Purpose - – The purpose of this paper is to investigate the price and volatility transmission between natural gas, fertilizer (ammonia), and corn markets, an issue that has been traditionally ignored in the literature despite its significant importance. Design/methodology/approach - – The authors jointly estimate a vector error correction model for the conditional mean equation and a multivariate generalized autoregressive heteroskedasticity model for the conditional volatility equation to investigate the interactions between natural gas, ammonia, and corn prices and their volatility. Findings - – The authors find significant interplay between fertilizer and corn markets, while only a mild linkage in prices and volatility exist between those markets and natural gas during the period 1994-2014. There is not only a positive relationship between corn and ammonia prices in the short run, but both prices react to deviations from the long-run parity. Furthermore, the lagged conditional volatility of ammonia prices positively affects conditional volatility in the corn market and vice versa. This result is robust to a specification using crude oil price as an alternative to natural gas price to account for the large transportation cost built into ammonia prices. Results for the period of 2006-2014 indicate virtually no linkage between natural gas prices and those of fertilizer and corn during that period, while linkages in price level and volatility between the latter remain strong. Originality/value - – This paper is the first in the literature to comprehensively examine the role of fertilizer on corn prices and volatility, and its relation to natural gas prices.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124197220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 18

Delegation versus Control in Supply Chain Procurement Under Competition 竞争下供应链采购中的委托与控制

Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2015-09-15 DOI: 10.2139/ssrn.2661059

E. Bolandifar, Panos Kouvelis, Fuqiang Zhang

{"title":"Delegation versus Control in Supply Chain Procurement Under Competition","authors":"E. Bolandifar, Panos Kouvelis, Fuqiang Zhang","doi":"10.2139/ssrn.2661059","DOIUrl":"https://doi.org/10.2139/ssrn.2661059","url":null,"abstract":"This paper studies the optimal component procurement strategies of two competing OEMs selling substitutable products. The OEMs outsource their production to a common contract manufacturer, who in turn needs an input from a component supplier. Each OEM may either directly procure the input from the component supplier, or delegate the procurement task to the contract manufacturer. We first analyze the OEMs' procurement game under a non-strategic supplier whose component price is exogenously given. It is found that symmetric equilibria arise for most situations, i.e., both OEMs either control or delegate their component procurement in equilibrium. Interestingly, despite the commonly-held belief that the contract manufacturer would be worse off as OEMs gain component procurement control, we show that the contract manufacturer may enjoy a higher profit. Then we study the OEMs' procurement game under a strategic supplier who can set its component price. We find that the supplier's strategic pricing behavior plays a critical role in the equilibrium procurement structure. In particular, in the equilibrium under strategic supplier, the larger OEM always uses delegation while the smaller OEM may use either delegation or control. By identifying the driving forces behind the OEMs' procurement choices, this research helps explain observed industry practices and offer useful guidelines for firms' component sourcing decisions.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130723217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 62