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

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A Joint Affine Model of Commodity Futures and US Treasury Yields 商品期货和美国国债收益率的联合仿射模型
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2015-03-06 DOI: 10.2139/ssrn.2574771
Michael Chin, Zhuoshi Liu
{"title":"A Joint Affine Model of Commodity Futures and US Treasury Yields","authors":"Michael Chin, Zhuoshi Liu","doi":"10.2139/ssrn.2574771","DOIUrl":"https://doi.org/10.2139/ssrn.2574771","url":null,"abstract":"We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role in the pricing of the convenience yield term structure. Our framework allows us to decompose the term structure of futures prices into expectations of future spot prices and risk premia components. We estimate that the risk premium in oil futures has been negative over the 1980s and 1990s, and turned positive in the mid-2000s, consistent with a declining role for supply shocks in the oil market over this period. In contrast, we estimate that the gold risk premium is mostly positive throughout the sample period.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131703197","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: 2
Modelling Oil Price Volatility Before, During and after the Global Financial Crisis 全球金融危机之前、期间和之后的油价波动模型
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2014-12-01 DOI: 10.1111/opec.12037
Afees A. Salisu
{"title":"Modelling Oil Price Volatility Before, During and after the Global Financial Crisis","authors":"Afees A. Salisu","doi":"10.1111/opec.12037","DOIUrl":"https://doi.org/10.1111/opec.12037","url":null,"abstract":"In this paper, we evaluate the comparative performance of volatility models for oil price using daily returns of crude oil price. The innovations of this paper are in three folds: (i) we consider two prominent oil prices namely Brent and West Texas Intermediate (WTI); (ii) we analyse these prices across three subsamples namely periods before, during and after the global financial crisis; and (iii) we also analyse the comparative performance of both symmetric and asymmetric volatility models for these oil prices. We find inconsistent patterns in the performance of the volatility models over the subsamples. On the average, however, we find evidence of leverage effects in both oil prices and therefore, investors in the oil market react to news. Specifically, we find that bad news in the oil market increased volatility in crude oil price than good news. We also find high level of persistence in the volatility of WTI and Brent although the latter appears more persistent than the former while the period of global financial crisis recorded the highest level of persistence in both prices. Also, we find that during the global financial crisis, risk averse investors shifted assets from the oil market to other less risky assets.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132352095","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: 5
Energy Technology Expert Elicitations for Policy: Workshops, Modeling, and Meta-Analysis 能源技术专家对政策的启发:研讨会、模型和元分析
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2014-10-30 DOI: 10.2139/ssrn.2538626
Laura Diaz Anadon, V. Bosetti, Gabriel Chan, G. Nemet, Elena Verdolini
{"title":"Energy Technology Expert Elicitations for Policy: Workshops, Modeling, and Meta-Analysis","authors":"Laura Diaz Anadon, V. Bosetti, Gabriel Chan, G. Nemet, Elena Verdolini","doi":"10.2139/ssrn.2538626","DOIUrl":"https://doi.org/10.2139/ssrn.2538626","url":null,"abstract":"Characterizing the future performance of energy technologies can improve the development of energy policies that have net benefits under a broad set of future conditions. In particular, decisions about public investments in research, development, and demonstration (RD&D) that promote technological change can benefit from (1) an explicit consideration of the uncertainty inherent in the innovation process and (2) a systematic evaluation of the tradeoffs in investment allocations across different technologies. To shed light on these questions, over the past five years several groups in the United States and Europe have conducted expert elicitations and modeled the resulting societal benefits. In this paper, we discuss the lessons learned from the design and implementation of these initiatives in four respects. First, we discuss lessons from the development of ten energy-technology expert elicitation protocols, highlighting the challenge of matching elicitation design with a particular modeling tool. Second, we report insights from the use of expert elicitations to optimize RD&D investment portfolios. These include a discussion of the rate of decreasing marginal returns to research, the optimal level of overall investments, and the sensitivity of results to policy scenarios and selected metrics for evaluation. Third, we discuss the effect of combining online elicitation tools with in-person group discussions on the usefulness of the results. Fourth, we summarize the results of a meta-analysis of elicited data across research groups to identify the association between expert characteristics and elicitation results.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"12 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130419907","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: 1
Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price 油价预测者最终是否正确?对油价更基本价值的回归预期
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2009-06-05 DOI: 10.2139/ssrn.2785362
S. Reitz, Jan‐Christoph Rülke, G. Stadtmann
{"title":"Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price","authors":"S. Reitz, Jan‐Christoph Rülke, G. Stadtmann","doi":"10.2139/ssrn.2785362","DOIUrl":"https://doi.org/10.2139/ssrn.2785362","url":null,"abstract":"We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal forecasters' underperformance relative to the random walk benchmark. However, this result appears to be biased due to peso problems.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"18 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131445904","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: 9
The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns 龟兔赛跑:期限结构与现货价格趋势在决定商品期货收益中的作用
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 2006-09-14 DOI: 10.2139/ssrn.2611506
H. Till
{"title":"The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns","authors":"H. Till","doi":"10.2139/ssrn.2611506","DOIUrl":"https://doi.org/10.2139/ssrn.2611506","url":null,"abstract":"This paper examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual futures contracts.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134452346","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
Sovereign Default and Economic Performance in Oil-Producing Economies 石油生产国的主权违约与经济表现
Global Commodity Issues (Editor's Choice) eJournal Pub Date : 1900-01-01 DOI: 10.20955/es.2016.20
Ana Maria Santacreu, Paulina Restrepo-Echavarria
{"title":"Sovereign Default and Economic Performance in Oil-Producing Economies","authors":"Ana Maria Santacreu, Paulina Restrepo-Echavarria","doi":"10.20955/es.2016.20","DOIUrl":"https://doi.org/10.20955/es.2016.20","url":null,"abstract":"Because oil-producing countries do hold public debt and do default, we must understand how oil reserves and production affect risk and economic performance.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130532215","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
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