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ERN: Other Econometric Modeling: Commodity Markets (Topic)最新文献

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Response to 'Order Flows and Financial Investor Impacts in Commodity Futures Markets' 对“商品期货市场的订单流动和金融投资者影响”的回应
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2019-10-24 DOI: 10.2139/ssrn.3475065
B. Henderson, Neil D. Pearson, Li Wang
{"title":"Response to 'Order Flows and Financial Investor Impacts in Commodity Futures Markets'","authors":"B. Henderson, Neil D. Pearson, Li Wang","doi":"10.2139/ssrn.3475065","DOIUrl":"https://doi.org/10.2139/ssrn.3475065","url":null,"abstract":"Financial institutions that issue commodity-linked notes hedge their liabilities by buying commodity futures. Henderson, Pearson and Wang (2015) show that these futures trades impact commodity futures prices and interpret this as evidence that uninformed financial flows into the commodity markets impact commodity prices. Ready and Ready (2019) criticize the analysis and conclusions in Henderson, Pearson and Wang (2015) and instead conclude that there is no evidence that the uninformed financial flows of CLN hedging trades impact commodity prices. This note explains why the analysis, criticisms, and conclusions in Ready and Ready (2019) are incorrect.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125569295","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
The Timing of the Flight to Gold: An Intra-Day Analysis of Gold and the S&P500 逃离黄金的时机:黄金和标准普尔500指数的日内分析
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2019-04-19 DOI: 10.2139/ssrn.3243111
D. Baur, Konstantin Kuck
{"title":"The Timing of the Flight to Gold: An Intra-Day Analysis of Gold and the S&P500","authors":"D. Baur, Konstantin Kuck","doi":"10.2139/ssrn.3243111","DOIUrl":"https://doi.org/10.2139/ssrn.3243111","url":null,"abstract":"Abstract We use high-frequency intra-day gold and S&P500 data covering the period from 2007 to 2018 to investigate when and how fast gold prices react to extreme negative shocks in the equity market. Our empirical analysis reveals three new features of gold: First, extreme negative 5-min S&P500 returns lead to a positive reaction of the gold price. Second, on days with extreme price declines in the stock market, gold continues to increase post US stock trading hours. Third, daily extreme negative equity returns accrue comparatively slowly over several hours. The findings show that there is a fast reaction of gold prices to extreme negative stock returns consistent with a flight to gold.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134174880","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: 11
Two Centuries of Commodity Futures Premia: Momentum, Value and Basis 两个世纪的商品期货溢价:动量、价值和基础
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2019-02-17 DOI: 10.2139/ssrn.3336406
Christopher C. Géczy, Mikhail Samonov
{"title":"Two Centuries of Commodity Futures Premia: Momentum, Value and Basis","authors":"Christopher C. Géczy, Mikhail Samonov","doi":"10.2139/ssrn.3336406","DOIUrl":"https://doi.org/10.2139/ssrn.3336406","url":null,"abstract":"Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positive in the additional 80-plus years of pre-sample data. Compared to a long-only passive basket of commodity futures, a long-only premia portfolio more than doubles its Sharpe in both the early and recent samples, suggesting a more optimal way to obtain portfolio’s commodity exposure while maintaining its beneficial inflation hedging property.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130329785","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
Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model 基于R-Vine SCAR模型的汇率、大宗商品和巴西股市的依赖动态
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2018-12-11 DOI: 10.21314/JOR.2018.397
Daniel Henrique Salgado, Osvaldo Candido
{"title":"Dependence Dynamics Among Exchange Rates, Commodities and the Brazilian Stock Market Using the R-Vine SCAR Model","authors":"Daniel Henrique Salgado, Osvaldo Candido","doi":"10.21314/JOR.2018.397","DOIUrl":"https://doi.org/10.21314/JOR.2018.397","url":null,"abstract":"The objective of this paper is to assess the dependence dynamics among Brazilian real exchange rates, commodity prices and the Brazilian stock market using a regular vine copula combined with the stochastic autoregressive copula model. The results suggest that the Brazilian financial markets are strongly dependent on the US dollar (USD), Petrobras stock prices and oil prices, and the dependence dynamics of the variables that comprise these markets are volatile and persistent over time.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"137 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123276340","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: 4
Uncertainty, Macroeconomic Activity and Commodity Price: A Global Analysis 不确定性、宏观经济活动和商品价格:一个全球分析
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2018-11-08 DOI: 10.2139/ssrn.3280848
Yifan Shen, Xunpeng Shi, Ting Zeng
{"title":"Uncertainty, Macroeconomic Activity and Commodity Price: A Global Analysis","authors":"Yifan Shen, Xunpeng Shi, Ting Zeng","doi":"10.2139/ssrn.3280848","DOIUrl":"https://doi.org/10.2139/ssrn.3280848","url":null,"abstract":"We extend Jurado et al. (2015)’s forecast-error-based uncertainty measure to the international context, and construct a new measure of global uncertainty. We examine dynamic causal effects among global uncertainty and other global macroeconomic variables, and provide two important applications of our global uncertainty measure by linking it to the price formation mechanism of oil and international uncertainty spillover effects. We show that the well-documented relation between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty also plays a key role in determining commodity prices, as well as driving business cycle fluctuations in a certain economy.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127898930","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
What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements 是什么推动了公开发布前的知情交易?来自天然气库存公告的证据
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2018-03-25 DOI: 10.2139/ssrn.2826684
Chengyan Gu, A. Kurov
{"title":"What Drives Informed Trading Before Public Releases? Evidence from Natural Gas Inventory Announcements","authors":"Chengyan Gu, A. Kurov","doi":"10.2139/ssrn.2826684","DOIUrl":"https://doi.org/10.2139/ssrn.2826684","url":null,"abstract":"This paper shows evidence of informed trading in the natural gas futures market before gas inventory announcements. We examine whether traders can predict the upcoming announcement by processing public information. The results show that the difference between the median forecast of analysts with high historical forecasting accuracy and the consensus forecast can be used to predict inventory surprises. This predictor explains some of the pre-announcement price drift, suggesting that informed trading before the announcement is likely to be driven by superior forecasting rather than by information leakage. A simple trading strategy conditioned on the predictor would have generated an annualized Sharpe ratio of 1.26.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"115 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133802871","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: 14
Adaptive Expectations and Commodity Risk Premiums 适应性预期与商品风险溢价
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2018-03-05 DOI: 10.2139/ssrn.2785563
Daniele Bianchi
{"title":"Adaptive Expectations and Commodity Risk Premiums","authors":"Daniele Bianchi","doi":"10.2139/ssrn.2785563","DOIUrl":"https://doi.org/10.2139/ssrn.2785563","url":null,"abstract":"We analyse a novel time series of investors’ expectations on future commodity spot prices, and show that a model with adaptive learning can replicate investors' forecasts. We use this framework to back out the dynamics of the (ex-ante) risk premia for different commodities and maturities, and provide evidence that commodity risk premia are time-varying and their dynamics is predominantly due to the changing nature of risk sharing and appetite, as proxied by open interest, hedging pressure and time-series momentum. Finally, we show that the explanatory power of alternative factors is not constant over time, both across commodities and time horizons.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132748237","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
Portfolio Management of Commodity Trading Advisors with Volatility Targeting 波动性目标的商品交易顾问投资组合管理
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2018-02-13 DOI: 10.2139/ssrn.3123092
Marat Molyboga
{"title":"Portfolio Management of Commodity Trading Advisors with Volatility Targeting","authors":"Marat Molyboga","doi":"10.2139/ssrn.3123092","DOIUrl":"https://doi.org/10.2139/ssrn.3123092","url":null,"abstract":"I show analytically that a volatility-targeted allocation methodology improves the risk-adjusted performance of portfolios under a broad set of assumptions regarding the serial correlation of returns, the variability of volatility and dependence of the expected Sharpe ratio on the level of volatility. I examine the impact of volatility targeting on portfolios of Commodity Trading Advisors within the large-scale simulation framework of Molyboga and L'Ahelec (2016) that accounts for the realistic constraints on institutional investors. I find a consistent and statistically significant improvement in the out-of-sample returns that ranges between 0.53% and 0.80% per annum, on average. The performance enhancement is robust to portfolio size and manager selection, and is implementable inside managed account investments.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116641802","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: 3
Financialization in Commodity Markets 商品市场中的金融化
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-09-01 DOI: 10.3386/W23766
V. Chari, Lawrence J. Christiano
{"title":"Financialization in Commodity Markets","authors":"V. Chari, Lawrence J. Christiano","doi":"10.3386/W23766","DOIUrl":"https://doi.org/10.3386/W23766","url":null,"abstract":"The financialization view is that increased trading in commodity futures markets is associated with increases in the growth rate and volatility of commodity spot prices. This view gained credence because in the 2000s trading volume increased sharply and many commodity prices rose and became more volatile. Using a large panel dataset we constructed, which includes commodities with and without futures markets, we find no empirical link between increased futures market trading and changes in price behavior. Our data sheds light on the economic role of futures markets. The conventional view is that futures markets provide one-way insurance by allowing outsiders, traders with no direct interest in a commodity, to insure insiders, traders with a direct interest. The data are not consistent with the conventional view and we argue that they point to an alternative mutual insurance view, in which all participants insure each other. We formalize this view in a model and show that it is consistent with key features of the data.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127835062","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: 12
Commodity Trading Strategies: Examples, Mistakes, and Famous Debacles 商品交易策略:例子、错误和著名的失败
ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2017-06-01 DOI: 10.2139/ssrn.3443059
H. Till, J. Eagleeye
{"title":"Commodity Trading Strategies: Examples, Mistakes, and Famous Debacles","authors":"H. Till, J. Eagleeye","doi":"10.2139/ssrn.3443059","DOIUrl":"https://doi.org/10.2139/ssrn.3443059","url":null,"abstract":"This paper provides a reasonably comprehensive tour of the always dynamic and frequently opaque commodity markets, including views on (1) commodity trading strategies, (2) common mistakes, and (3) two famous debacles. The specific types of commodity trading strategies that are included are trend-following and calendar-spread trading.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121051353","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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