Econometric Modeling: Commodity Markets eJournal最新文献

{"title":"Investment of Natural Resource Rents for Development in Myanmar","authors":"Shabbir Ahmad, Saleem H Ali","doi":"10.2139/ssrn.3007622","DOIUrl":"https://doi.org/10.2139/ssrn.3007622","url":null,"abstract":"The main objective of this paper is to analyse the resource management issues in macroeconomic perspective for Myanmar. We identify various gaps to improve the overall performance of the economy and provide a benchmarking for translating the resources to promote sustainable consumption as well as saving and investment behaviour in the economy. Our focus is on fiscal rule management and its assessment to help policy makers diagnose existing issues hindering economic growth despite extractive industry investment. The identification of weaknesses and strengths of resource management unfolding the bottlenecks will be helpful to suggest the viable policies. Linking tax collection to effective forecasting and planning for revenue volatility due to commodity prices is essential for government spending calculations in a resource dependent economy (thus linking precepts 7, 8 and 9 of the Natural Resource Charter). The private sector’s role in bringing forth capital and innovation into the extractive economy are analysed in this context so as to ensure that economic diversification is also encouraged.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124796936","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}

{"title":"How to Manage the Risk in the Precious Metals Market? The Case of Gold","authors":"Hao Shen, Xuanjin Meng, Xiaojing Meng","doi":"10.2139/ssrn.3016829","DOIUrl":"https://doi.org/10.2139/ssrn.3016829","url":null,"abstract":"Other than as a medium of exchange, gold has been a consumption and investment product for a long history. It has been recognized a well-positive role in portfolio performance by many financial market practitioners. During the recent financial crisis, gold spot prices have exhibited significant volatility. Thus, effective risk management of gold spot prices play a crucial role for the industry. In this paper, we consider several types of heavy-tailed distributions and compare their performance in risk management of gold spot prices. Our results show the Skewed t distribution has the best goodness-of-fit in modelling the distribution of daily gold spot returns and generates suitable Value at Risk measures.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123604110","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}

{"title":"Where in the World are Canadian Oil and Gas Companies? 2012","authors":"Niloo Hojjati","doi":"10.11575/SPPP.V10I0.42631","DOIUrl":"https://doi.org/10.11575/SPPP.V10I0.42631","url":null,"abstract":"Begun in 2011 as an internal research tool for the development of the Extractive Resource Governance Program, this study seeks to answer the vital question: Where in the world are Canadian oil and gas companies? To answer this question, we extract firm-level information from publicly traded Canadian companies in order to establish the location of their activities around the globe.1 The data collected in the “Where in the World” (hereafter WIW) project are presented through a publicly accessible interactive world map, which allows users to explore a specific country or region over time. This map can be accessed online at http://www.policyschool.ca/research-teaching/teaching-training/extractiveresource-governance/ergp-map/. For background information regarding the WIW project, including an extensive overview of the methodology, please refer to  http://www.policyschool.ca/wp-content/uploads/2017/06/Where-in-the-WorldHojjati-Horsfield-Jordison-final.pdf. For a summarized overview of the annual data gathered in 2011, please refer to http://www.policyschool.ca/wp-content/ uploads/2017/06/2011-Where-in-the-World-Hojjati-Horsfield-Jordison-final.pdf. This report, as in the earlier report in this series, presents an extensive account of the global presence of Canadian oil and gas (hereafter O&G) companies in the 2012 year of study.2 In total, 228 Canadian O&G companies conducted operations in 85 countries in 2012, extending their presence to every region of the world. While North America continued to serve as the primary destination for Canadian exploration and production activities, the role of Canadian O&G service companies increased significantly in the Middle Eastern oil and gas industry, particularly in the United Arab Emirates, Saudi Arabia, Kuwait, and Oman. This report begins with a regional overview of the international activities of Canadian exploration and production (E&P) companies, followed by a summary of the level of activities on a country basis. The report then continues by providing the same analysis for Canadian O&G service companies.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129172359","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}

{"title":"Volatility Skews Implied by a Multi-Technology Bid Stack Model for Electricity Markets","authors":"T. Wottka","doi":"10.2139/ssrn.2980671","DOIUrl":"https://doi.org/10.2139/ssrn.2980671","url":null,"abstract":"This paper presents implied volatility smiles and skews for plain vanilla electricity options based on a new bid stack model developed in a previous paper. This underlying bid stack model for the electricity market is extended to the case of an arbitrary number N of technology classes embedded in the production stack (esp. for N>2). As bid stack model, the developed framework represents a structural model that considers a range of heat rates per technology class rather than a single heat rate. The electricity spot price S_{t} is considered as a function of random variables like residual load, available production capacity, as well as marginal production costs per technology class including the full technology switch dynamics. Additionally, deviations from the marginal cost price level in the form of a scarcity function are included. Presuming a stylised electricity market with three technologies (N=3), we apply closed formulas for European put and call options derived in the previous paper and exhibit the obtained volatility skew structures. Considering different electricity consumption regimes, the structural model approach reveals in a very transparent way, how the volatility skew features switch depending on the market's demand side.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128969149","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}

{"title":"Estimating Stock Price in Energy Market Including Oil, Gas, and Coal: The Comparison of Linear and Non- Linear Two-State Markov Regime Switching Models","authors":"R. Mohseni, Armaghan Sakhtkar","doi":"10.2139/ssrn.3771889","DOIUrl":"https://doi.org/10.2139/ssrn.3771889","url":null,"abstract":"A common method to study the dynamic behavior of macroeconomic variables is using linear time series models; however, they are unable to explain nonlinear behavior of the series. Given the dependency between stock market and derivatives, the behavior of the underlying asset price can be modeled using Markov switching process properties and the economic regime significance. In this paper, a two-state Markov switching model in energy market has been examined for oil, coal, and gas since 1991 to 2011. The objective price estimated by the switching model and the parameters were determined by using MATLAB program. With regard to the relationship between the total price and the variables defined in this paper, it is concluded that the non-linear model is relatively better than the linear model, since it has lower RMSE and greater R-squared, therefore it is better to use nonlinear model in Markov switching model for predicting the price of stocks.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129597280","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}

{"title":"Global Asset Allocation: Crude Calculations","authors":"Francis E. Warnock, L. Hergenroeder","doi":"10.2139/ssrn.2974472","DOIUrl":"https://doi.org/10.2139/ssrn.2974472","url":null,"abstract":"Fully updated through end-2017, this case examines the oil market. The protagonist's task was to decide whether her pension fund should allocate some funds to oil, and if so, how much. The decision requires an assessment of oil's features as a strategic component in any portfolio as well as whether the time is right for an opportunistic tactical allocation. Factors that must be considered include how supply and demand for oil will be affected by global economic policy, geopolitical concerns, the availability of alternatives such as natural gas, and rising demand from emerging markets, among other factors. \u0000Excerpt \u0000UVA-F-1647 \u0000Rev. Apr. 2, 2018 \u0000Global Asset Allocation: Crude Calculations \u0000Rashonda Williams, responsible for global asset allocation at a large pension fund, gazed at the Blue Ridge Mountains from her Crozet, Virginia, home office. Her task today was to decide whether and how much of her fund should be allocated to oil. At this point—March 2018—there were many reasons to think about adding oil to her fund. One was that oil prices, after falling sharply from the $ 100-per-barrel level, had doubled from their 2016 lows (Figure 1). Was the increasing price over the past few years the beginning of a longer-term trend? At above $ 60 per barrel, was oil now a good buy? \u0000Figure 1. Brent and WTI crude oil prices: 2007–Feb. 2018 (in dollars per barrel). \u0000The oil price was much lower than in mid-2014, but Williams knew that central banks in many developed countries were still trying to reflate—and those that were not, such as the US Federal Reserve, had begun tightening only because they believed their economies were recovering—so a sustained surge in oil demand, and hence oil prices, was eminently possible. And she knew, having heard of “peak oil,” that even with impressive increases in US supply, supply was not limitless. A possible surge in demand coupled with limited supply—a supply that might be even more limited if the Organization of the Petroleum Exporting Countries (OPEC) stuck to its agreed to production cuts—meant that oil might be an attractive investment. At the same time, so many other asset classes looked less than attractive; bond prices seemed to have nowhere to go but down; and equities looked expensive. \u0000. . .","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121518054","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}

{"title":"Impact of U.S Financial Market Deregulation on Commodity Derivatives Market: An Overview","authors":"Velmurugan Palaniappan Shanmugam, P. Armah","doi":"10.2139/SSRN.2975264","DOIUrl":"https://doi.org/10.2139/SSRN.2975264","url":null,"abstract":"With due credit to the globalized interlinked economy, the international linkages, information transmission, and the spillover effect from one futures market to other markets across the world is well researched and documented. Especially several studies on equity, currency, and commodity markets have documented the dominance of U.S markets in innovation and information dissemination to the rest to the world. The information of price, market return and volatility that is prevailing in U.S market is no more a domestic issue since it gets incorporated into international commodity futures markets immediately without sparing any lead-lag relationship. As US is the birthplace of several financial market and regulatory innovations, the entire world is looking at it for taking corrective measures. To conclude, it is not the failure of the derivatives market but it is the failure of the regulatory mechanism that have created turmoil in the market. The policy makers should understand that it is in their hands to design a regulatory architecture taking into account the developments and experiences during the first few years of the market - good and bad - and literally shape the financial and commodity market system that forms the foundation for the future of futures market.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125712140","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}

{"title":"India's Agricultural Commodity Futures Market Ecosystem: An Overview","authors":"Velmurugan Palaniappan Shanmugam, P. Armah","doi":"10.2139/SSRN.2975274","DOIUrl":"https://doi.org/10.2139/SSRN.2975274","url":null,"abstract":"As it is the responsibility of the government, exchanges and the regulator to ensure that suitable measures are taken to ensure delivery, some new revolutionary steps are designed by the FMC and the largest agri-commodity exchange NCDEX, in the larger interest of the farmers and to curb excessive speculation (Money Control, 2012). Staggered Delivery facility: In a move which gives the seller an option to tender delivery much before the expiry of the contract, the Regulator has introduced a system of staggered delivery in Compulsory Delivery contracts which could go a long way towards easing pressures towards the expiry of the contract and facilitate convergence in the futures and underlying physical markets. Under this system, the Seller can tender delivery any time from the 5th of the expiring month and the expiry date (for contracts expiring in June 2012 onwards). This would have twin benefits of facilitating smooth closure of the contracts as deliveries would be spread over a period of two weeks and permitting the Seller to tender delivery and exit his position, thereby reducing his holding and margining costs. It would also ensure that only buyers who intend to take delivery would remain in the expiry month contract during this period, thereby reducing speculative interest towards the expiry of the contract. Reduction in Delivery Default Penalty: Hitherto, the penalty on Seller in case of delivery default in a Compulsory Delivery contract was at 3% of the Final Settlement Price plus the difference in the Settlement Price and the average of three of the highest spot prices during five days after expiry of the contract. In scenarios of shortage of goods in the Exchange accredited warehouses, when sellers were not in a position to effect delivery, this led default penalty being priced into the futures prices. The penalty has been reduced to 1.5% plus the difference in the Settlement Price and the average of three of the highest spot prices during five days after expiry of the contract in select commodities \"Chana, Mustard Seed & Pepper\". Relaxing the penalty percentage would reduce the probability of non-convergence between spot and future prices and ensure more orderly expiries of the contracts. \u0000One problem remains with compulsory delivery more specifically in cases of narrow commodities (like pepper) whose production is less. At times, producer could not make deliver of the commodity as per the contract designs due to crop damages while cultivation (caused by erratic weather etc.,) resulting in quality issues. The only way to square off the deal is to deliver the produce at a discount on the contracted price. There can be much more problems which could create a mismatch between the interest of the buyers and the sellers at the time of delivery. It is the duty of the regulator to find suitable solutions (as that of the staggering delivery facility introduced recently) as long as the need for compulsory delivery mechanism holds well.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116854565","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}

{"title":"Pricing of Electricity Futures Based on Locational Price Differences: The Case of Finland","authors":"J. Junttila, V. Myllymäki, J. Raatikainen","doi":"10.2139/ssrn.3024632","DOIUrl":"https://doi.org/10.2139/ssrn.3024632","url":null,"abstract":"We find that the pricing of Finnish electricity market futures has been inefficient during the latest 10 years, when the trading volumes of Electricity Price Area Differentials (EPADs) have more than doubled. Even though the calculated futures premium on EPADs is related to some risk measures and the variables capturing the demand and supply conditions in the spot electricity markets, there has been a significant positive excess futures premium in the Finnish market, and financial market participants should have been able to utilize this also in economic terms. This finding is new and relevant for the participants of the Nordic electricity markets also in the future, because both the speculative and hedging-based trading is increasing in the Nordic markets.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132638166","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}

{"title":"Wave after Wave: Contagion Risk from Commodity Markets","authors":"Bernardina Algieri, A. Leccadito","doi":"10.2139/ssrn.2981596","DOIUrl":"https://doi.org/10.2139/ssrn.2981596","url":null,"abstract":"The aim of this study is to investigate the possible contagion risk coming from energy, food and metals commodity markets and to assess risk spillovers from biofuel to food commodity markets and from crude oil to food markets. To this purpose, we use the delta Conditional Value-at-Risk ΔCoVaR) approach recently proposed by Adrian and Brunnermeier (2016) based on quantile regression. This novel methodology allows us first to identify a measure of contagion risk for energy, food and metals commodity markets, then to detect whether the risk contribution for a given market is significant, while distinguishing between tail events driven by financial factors, economic fundamentals or both, and finally, to assess whether the contagion effect of one market is significantly larger than the one of another market. The results show that energy, food and metals commodity markets transmit contagion within markets and there are spillovers from crude oil and biofuel to food markets. In particular, oil is systemically riskier than the other markets in causing economic instability. Oil is also more important than biofuel in affecting food markets. It emerges that contagion risk is mainly triggered by financial factors for energy and metal markets, while financial and economic fundamentals are relevant for food markets.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114702178","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}