Econometric Modeling: Commodity Markets eJournal最新文献_第7页

Foreign Trade in 2016: Stabilization of Exports and Imports 2016年对外贸易:进出口企稳

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-03-25 DOI: 10.2139/ssrn.2944595

A. Knobel, Alexander Firanchuk

引用次数: 1

Oil Industry: Exports at Peak 石油工业:出口达到峰值

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-03-03 DOI: 10.2139/SSRN.2944586

Yuri Bobylev

引用次数: 0

Issues Surrounding the Rice Price of Thailand from 2003 to 2013 2003 - 2013年泰国大米价格相关问题

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-02-21 DOI: 10.2139/SSRN.2921060

P. Kha, V. Trinh

引用次数: 3

Futures Trading and the Excess Comovement of Commodity Prices 期货交易与商品价格的过度波动

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-02-15 DOI: 10.2139/ssrn.2191659

Y. Le Pen, B. Sévi

{"title":"Futures Trading and the Excess Comovement of Commodity Prices","authors":"Y. Le Pen, B. Sévi","doi":"10.2139/ssrn.2191659","DOIUrl":"https://doi.org/10.2139/ssrn.2191659","url":null,"abstract":"We empirically reinvestigate the issue of excess comovement of commodity prices initially raised in Pindyck and Rotemberg (1990) and show that excess comovement, when it exists, can be related to hedging and speculative pressure in commodity futures markets. Excess comovement appears when commodity prices remain correlated even after adjusting for the impact of common factors. While Pindyck and Rotemberg and following contributions examine this issue using a relevant but arbitrary set of control variables, we use recent developments in large approximate factor models so that a richer information set can be considered and \"fundamentals\" are likely to be adequately modeled. We consider a set of 8 unrelated commodities along with 187 real and nominal macroeconomic variables from which 9 factors are extracted over the period 1993-2010. Our estimates provide evidence of a time-varying excess comovement which is only occasionally significant, even after controlling for heteroscedasticity. Interestingly, excess comovement is mostly significant in recent years when a large increase in the trading of commodities is observed and also in crisis periods. However, we show that this increase in trading activity alone has no explanatory power for the excess comovement. Conversely, measures of hedging and speculative pressure explain around 60% of the estimated excess comovement thereby showing the strong impact not only of the financialization process, but also the impact of behaviour of some categories of traders on the price of commodities and the fact that supply and demand variables are not the sole factors in determining equilibrium prices.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"84 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128615563","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: 72

Are Agriculture Markets Driven by Investors’ Allocation? Evidence from the Co-Movement of Commodity Prices 农业市场是由投资者配置驱动的吗?商品价格共同运动的证据

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-02-14 DOI: 10.2139/ssrn.2888887

Johannes Luebbers, Peter N. Posch

引用次数: 3

The Pricing of ULP and Diesel in the Western Australian Retail Fuel Market 西澳大利亚零售燃料市场中ULP和柴油的定价

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-02-13 DOI: 10.2139/ssrn.2916004

R. Heaney, Sirimon Treepongkaruna

引用次数: 0

Is the Discretionary Income Effect of Oil Price Shocks a Hoax? 油价冲击的可支配收入效应是骗局吗?

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-02-01 DOI: 10.5547/01956574.39.SI2.CBAU

C. Baumeister, Lutz Kilian, Xiaoqing Zhou

{"title":"Is the Discretionary Income Effect of Oil Price Shocks a Hoax?","authors":"C. Baumeister, Lutz Kilian, Xiaoqing Zhou","doi":"10.5547/01956574.39.SI2.CBAU","DOIUrl":"https://doi.org/10.5547/01956574.39.SI2.CBAU","url":null,"abstract":"The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014-16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks. In particular, she asserts that the discretionary income effect on private consumption, which plays a central role in contemporary accounts of the transmission of oil price shocks to the U.S. economy, makes no economic sense and has no economic foundation. Ramey suggests that the literature has too often confused the terms-of-trade effect with this discretionary income effect, and she makes the case that the effects of the oil price decline of 2014-16 on private consumption are smaller for a multitude of reasons than suggested by empirical models of the discretionary income effect. We review the main arguments in Ramey (2017) and show that none of her claims hold up to scrutiny.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"28 2-3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131676380","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: 34

Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis 伊斯兰和传统的黄金投资组合不同吗?行业分析

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-01-17 DOI: 10.2139/ssrn.2915159

Abdelbari El Khamlichi, T. Hoang, W. Wong, Zhenzhen Zhu

引用次数: 0

Modeling Energy Spreads with a Generalized Novel Mean-Reverting Stochastic Process 用一种广义新颖均值回归随机过程建模能量扩散

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-01-11 DOI: 10.21314/JEM.2017.154

Mir Hashem Avonleghi, M. Davison

{"title":"Modeling Energy Spreads with a Generalized Novel Mean-Reverting Stochastic Process","authors":"Mir Hashem Avonleghi, M. Davison","doi":"10.21314/JEM.2017.154","DOIUrl":"https://doi.org/10.21314/JEM.2017.154","url":null,"abstract":"The spread between two related energy prices is a very important quantity throughout energy finance. Of particular interest are spreads between different energy types, different delivery points (location spreads) and different delivery times (calendar spreads). Each underlying price process may be modeled directly. At times, however, it is a useful simplification to consider the spread as a distinct process, which may itself be directly modeled. For this purpose, we investigate the continuous limit of a mean-reverting random walk and its extensions. Analytical results about the solution of this process, including its stationary distribution, are obtained. This new mean-reverting process is compared with the Vasicek process, and its advantages are discussed. We show that this new model for spread dynamics is capable of capturing kurtosis. It can also capture the possible skewness in the transition density of the price spread process. Since the analytical transition density is unknown for this nonlinear stochastic process, the local linearization method is deployed to estimate the model parameters. We apply this method to empirical data for modeling the spread between West Texas Intermediate (WTI) crude oil and West Texas Sour (WTS) crude oil.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"259 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122288254","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

How Information Is Transmitted Across the Nations? An Empirical Investigation of the US and Chinese Commodity Markets 信息是如何在国家间传播的?中美大宗商品市场的实证研究

Econometric Modeling: Commodity Markets eJournal Pub Date : 2017-01-01 DOI: 10.2139/ssrn.3013797

Zi‐Yi Guo

引用次数: 13