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Information Spillover Dynamics of the Energy Futures Market Sector: A Novel Common Factor Approach 能源期货市场部门的信息溢出动态:一种新的共因子方法
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-06-11 DOI: 10.2139/ssrn.2610385
D. Kuruppuarachchi, I. M. Premachandra
{"title":"Information Spillover Dynamics of the Energy Futures Market Sector: A Novel Common Factor Approach","authors":"D. Kuruppuarachchi, I. M. Premachandra","doi":"10.2139/ssrn.2610385","DOIUrl":"https://doi.org/10.2139/ssrn.2610385","url":null,"abstract":"We investigate sector level information spillovers from energy to other futures market sectors using a novel conditionally heteroscedastic common factor (CHCF). CHCF represents common trends of macroeconomic influences on futures markets. We find that energy sector has the highest degree of commonality compared to other sectors. Conditional correlations between energy and non-energy sectors are highly persistent. The volatility spillover from the energy sector is prominent compared with mean and extreme market risk spillovers. Extreme risk spillovers from the energy to other sectors have an asymmetric effect. Shocks to energy futures have a significant potential impact on other markets during crises.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128386123","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: 16
The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production 石油价格冲击对美国股市的影响:关于美国和非美国石油生产作用的说明
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-06-09 DOI: 10.2139/ssrn.2793615
Wensheng Kang, Ronald A. Ratti, Joaquin Vespignani
{"title":"The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production","authors":"Wensheng Kang, Ronald A. Ratti, Joaquin Vespignani","doi":"10.2139/ssrn.2793615","DOIUrl":"https://doi.org/10.2139/ssrn.2793615","url":null,"abstract":"Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production since 2009. Our results underscore the importance of the disaggregation of world oil supply and of the recent extraordinary surge in the U.S. oil production for analysing impact on U.S. stock prices. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131363852","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: 33
High Frequency Evidence on the Demand for Gasoline 汽油需求的高频证据
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-06-01 DOI: 10.1257/POL.20140093
Laurence M. Levin, Matthew S. Lewis, F. Wolak
{"title":"High Frequency Evidence on the Demand for Gasoline","authors":"Laurence M. Levin, Matthew S. Lewis, F. Wolak","doi":"10.1257/POL.20140093","DOIUrl":"https://doi.org/10.1257/POL.20140093","url":null,"abstract":"Daily city-level expenditures and prices are used to estimate the price responsiveness of gasoline demand in the U.S. Using a frequency of purchase model that explicitly acknowledges the distinction between gasoline demand and gasoline expenditures, we consistently find the price elasticity of demand to be an order of magnitude larger than estimates from recent studies using more aggregated data. We demonstrate directly that higher levels of spatial and temporal aggregation generate increasingly inelastic demand estimates, and then perform a decomposition to examine the relative importance of several different sources of bias likely to arise in more aggregated studies.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126667571","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: 97
Distributional Consequences of Commodity Price Shocks: Australia Over a Century 商品价格冲击的分配后果:一个世纪以来的澳大利亚
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-06-01 DOI: 10.1111/roiw.12167
S. Bhattacharyya, J. Williamson
{"title":"Distributional Consequences of Commodity Price Shocks: Australia Over a Century","authors":"S. Bhattacharyya, J. Williamson","doi":"10.1111/roiw.12167","DOIUrl":"https://doi.org/10.1111/roiw.12167","url":null,"abstract":"This paper studies the distributional impact of commodity price shocks over the short and the very long run. Using a GARCH model, we find that Australia experienced more volatility than many commodity exporting developing countries over the periods 1865–1940 and 1960–2008. We conduct cointegration tests to assess the commodity price shock inequality nexus. A single equation error correction model suggests that commodity price shocks increase the income share of the top 1, 0.05, and 0.01 percent in the short run. The very top end of the income distribution benefits from commodity booms disproportionately more than the rest of the society. The short run effect is mainly driven by wool and mining and not agricultural commodities. A sustained increase in the price of renewables (wool) reduces inequality whereas the same for non-renewable resources (minerals) increases inequality. We expect that the initial distribution of land and mineral resources explains the asymmetric result.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"127 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131466187","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
Commodity Prices and Fiscal Policy Design: Procyclical Despite a Rule 商品价格与财政政策设计:尽管有规律，但仍是顺周期的
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-05-09 DOI: 10.2139/ssrn.2777838
H. Bjørnland, Leif Anders Thorsrud
{"title":"Commodity Prices and Fiscal Policy Design: Procyclical Despite a Rule","authors":"H. Bjørnland, Leif Anders Thorsrud","doi":"10.2139/ssrn.2777838","DOIUrl":"https://doi.org/10.2139/ssrn.2777838","url":null,"abstract":"We analyse if the adoption of a fiscal rule insulates the domestic economy from commodity price fluctuations in a resource-rich economy. To do so we develop a timevarying Dynamic Factor Model, in which both the volatility of structural shocks and the systematic fiscal policy responses are allowed to change over time. We focus on a particular country, Norway, that is put forward as exemplary with its handling of resource wealth; income from the sale of petroleum is first saved in a sovereign wealth fund for then to be spent following a fiscal rule. We find that, contrary to common perception, fiscal policy has been more (not less) procyclical with commodity prices since the adoption of the rule. Fiscal policy has thereby exacerbated the commodity price fluctuations on the domestic economy. Still, compared to many other resource-rich economies practising a more spend-as-you-go strategy the responses are modest, as also documented in our counterfactual analysis. From a policy point of view, the implications of our findings are therefore of general interest since they highlight strengths and weaknesses of fiscal rules adopted in resource rich countries.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"134 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117314044","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: 20
Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market 仿射跳跃-扩散模型的跳跃活性分析:来自商品市场的证据
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-05-01 DOI: 10.2139/ssrn.2773076
J. D. da Fonseca, Katja Ignatieva
{"title":"Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market","authors":"J. D. da Fonseca, Katja Ignatieva","doi":"10.2139/ssrn.2773076","DOIUrl":"https://doi.org/10.2139/ssrn.2773076","url":null,"abstract":"The objective of this paper is to perform a joint analysis of jump activity for commodities and their respective volatility indices. Exploiting the property that for affine jump-diffusion models a volatility index, which is quoted on the market, is an affine function of the instantaneous volatility state variable (thus turning this quantity observable), we perform a test of common jumps for multidimensional processes to assess whether an asset and its volatility jump together. Applying this test to the crude oil pair USO/OVX and the gold pair GLD/GVZ we find strong evidence that for these two markets the asset and its volatility have disjoint jumps. This result contrasts with existing results for the equity market and underpins a very specific nature of the commodity market. The results are further confirmed by analysing jump size distributions using a copula methodology.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"378 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131769066","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
Output Value Risk for Commodity Producers: The Uncertain Benefits of Diversification 商品生产者的产值风险:多元化的不确定收益
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-04-29 DOI: 10.2139/ssrn.2705144
Nicolas Merener, Maria Eugenia Steglich
{"title":"Output Value Risk for Commodity Producers: The Uncertain Benefits of Diversification","authors":"Nicolas Merener, Maria Eugenia Steglich","doi":"10.2139/ssrn.2705144","DOIUrl":"https://doi.org/10.2139/ssrn.2705144","url":null,"abstract":"Significant changes in commodity price dynamics have occurred since 2004, including a strong increase in commodity return correlations. What has been the impact on the uncertainty faced by commodity producers? We answer this question through an empirical analysis of the market value of commodity producers' output, using a sample of 54 countries engaged in the production of 22 commodities. We find that between 1986 and 2012 commodity output value correlated strongly with exports and that its volatility was strongly increasing in the degree of specialization. Between 1986 and 2003, producers specialized in the production of two or fewer commodities experienced an average output value volatility of 25.1%, and producers diversified in three or more commodities faced an average volatility of 14.1%. Average pairwise commodity correlation during this period was 9%. In the 2004-2012 period average commodity correlation was 29%, leading to output volatilities of 25.3% and 18.7% for specialized and diversified producers respectively. We explain this reduction in the benefits of diversification through an approximate decomposition of national output variance in terms of the Herfindahl index associated to diversification in production, average commodity volatility and average commodity correlations.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127918141","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: 7
Macroeconomic Fundamentals to the Commodity Risk Premium 宏观经济基本面对商品风险溢价
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-04-23 DOI: 10.2139/ssrn.2982479
L. Boon, F. Ielpo
{"title":"Macroeconomic Fundamentals to the Commodity Risk Premium","authors":"L. Boon, F. Ielpo","doi":"10.2139/ssrn.2982479","DOIUrl":"https://doi.org/10.2139/ssrn.2982479","url":null,"abstract":"This chapter aims to build a connection between commodities’ price movements and the growth level in industrial production in different economic regions. Commodities should only be incorporated in a diversified strategy as long they either have a poor correlation to standard assets such as equities, or offer an attractive risk premium. We demonstrate that the part of commodity return not attributed to the roll yield is related to economic activities in the U.S. and China. 40 to 50% of variation in commodities returns are explained by industrial production growth in those both regions. The slow-down of economic activity implies lower excess returns on commodities. Similar to the risk premium on equities and credit, the commodity risk premium is dependent on the economic environment. This finding casts doubt on both commodities’ diversification potential, and investor’s interest in this asset class in terms of expected risk premium, given the current low world structural growth.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116294557","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
Commodities, Financialization, and Heterogeneous Agents 商品、金融化和异质代理人
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-04-12 DOI: 10.2139/ssrn.2759314
Nicole Branger, Patrick Grüning, Christian Schlag
{"title":"Commodities, Financialization, and Heterogeneous Agents","authors":"Nicole Branger, Patrick Grüning, Christian Schlag","doi":"10.2139/ssrn.2759314","DOIUrl":"https://doi.org/10.2139/ssrn.2759314","url":null,"abstract":"The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth agents, who have to spend a large share of their income for commodity consumption and cannot participate in financial markets. In this paper we study the effect of financial speculation on commodity prices in a heterogeneous agent production economy with an agricultural and an industrial producer, a financial speculator, and a commodity consumer. While access to financial markets is always beneficial for the participating agents, since it allows them to reduce their consumption volatility, it has a decisive effect with respect to overall welfare effects who can trade with whom (but not so much what types of instruments can be traded).","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130159133","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
Modeling Alberta Power Prices Through Fundamentals 通过基本面对艾伯塔省电价进行建模
Econometric Modeling: Commodity Markets eJournal Pub Date : 2016-04-01 DOI: 10.21314/JEM.2016.155
E. Negahdary, T. Ware
{"title":"Modeling Alberta Power Prices Through Fundamentals","authors":"E. Negahdary, T. Ware","doi":"10.21314/JEM.2016.155","DOIUrl":"https://doi.org/10.21314/JEM.2016.155","url":null,"abstract":"We model medium- and long-term Alberta power prices by identifying the primary price drivers and characterizing their dynamics in an engineering-based bottom-up model. This fundamental model is based on the economic theory of supply and demand. Power prices will be represented naturally while satisfying operational constraints. In view of the uncertainty around their future values, we model independent exogenous variables such as fuel prices, outages and load as stochastic processes. \u0000The model simulates bid stack by incorporating historical bidding behavior. This simulated bid stack model is an original, creative approach to modeling not just spot prices but also different risk measures and forward contracts. The interactions of simulations of different factors produce a distribution of prices, with a probability associated with each price range, rather than having a single price. While common optimization models in the literature mimic the role of a market administrator, our simulation-based model aims to combine the influences of a wide range of underlying variables in a mathematical approach. Fundamental models can potentially be used for delta analysis, scenario/sensitivity analysis, measuring risk matrixes, market-price-of-risk analyses, development of trading strategies and decision support for investments or acquisitions.","PeriodicalId":292025,"journal":{"name":"Econometric Modeling: Commodity Markets eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128033308","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
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