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

{"title":"Distance and Time Effects in Swedish Commodity Prices, 1732–1914","authors":"Mario J. Crucini, Gregor W. Smith","doi":"10.3386/W22175","DOIUrl":"https://doi.org/10.3386/W22175","url":null,"abstract":"We study the role of distance and time in statistically explaining price dispersion across 32 Swedish towns for 19 commodities from 1732 to 1914. The resulting large number of relative prices (502,689) allows precise estimation of distance and time effects, and their interaction. We find an effect of distance that declines significantly over time, beginning in the 18th century, well before the arrival of canals, the telegraph, or the railway.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"43 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":"116888588","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 Crude Oil Options Using Lévy Processes","authors":"Akbar Shahmoradi, A. Swishchuk","doi":"10.21314/JEM.2016.140","DOIUrl":"https://doi.org/10.21314/JEM.2016.140","url":null,"abstract":"Crude oil prices exhibit significant volatility over time. The distribution of returns on crude oil prices shows fat tails and skewness that barely follow a normal distribution. For this reason, we use the normal Gaussian process, jump diffusion process and variance gamma process as three Levy processes that do not have these drawbacks. Their tails also carry a heavier mass than in a normal distribution. We employ the fractional fast Fourier transform to calibrate parameters in an optimization setup, using data about European-style options on crude oil futures in the New York Mercantile Exchange for a settlement date of April 24, 2015. Our results indicate that these three Levy processes have very good out-of-sample results for near at-the-money options compared with others.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126544234","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":"Googling Gold and Mining Bad News","authors":"D. Baur, T. Dimpfl","doi":"10.2139/ssrn.2712224","DOIUrl":"https://doi.org/10.2139/ssrn.2712224","url":null,"abstract":"This paper studies investor's attention to gold price movements by analyzing the relationship between gold price changes and internet search queries for gold. We find a positive relationship of gold price volatility and search queries and a strong asymmetric effect of negative gold price changes on search queries indicating a preference to mine (google) bad news rather than good news. The analysis of silver, palladium and platinum demonstrates that the findings for gold are unique.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116222120","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":"Stumbling to a New Equ'Oil'Ibrium: Understanding the Current Upheaval in the Global Crude Oil Market","authors":"D. Huppmann, D. Livingston","doi":"10.2139/SSRN.2684846","DOIUrl":"https://doi.org/10.2139/SSRN.2684846","url":null,"abstract":"The precipitous decline in crude oil prices over the past year has sparked a renewed discussion around the drivers of the oil market and the role of OPEC. The decision by OPEC ministers in November 2014 not to reduce their quota can be interpreted in multiple ways: was OPEC deliberately driving out U.S. shale oil producers by depressing the price? Or were OPEC members instead overtaken by market forces beyond their control?","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129367978","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":"Uncertainty and Crude Oil Returns","authors":"Riadh Aloui, Rangan Gupta, S. Miller","doi":"10.2139/ssrn.2623745","DOIUrl":"https://doi.org/10.2139/ssrn.2623745","url":null,"abstract":"We use a copula approach to investigate the effect of uncertainty on crude-oil returns. Using copulas to construct multivariate distributions of time-series data permit the calculation of the dependence structure between the series independently of the marginal distributions. Further, we implement the copula estimation using a rolling window method to allow for a time-varying effect of equity and economic policy uncertainty on oil returns. The results show that higher uncertainty, as measured by equity and economic policy uncertainty indices, significantly increase crude-oil returns only during certain periods of time. That is, we find a positive dependence prior to the financial crisis and Great Recession. Interestingly, estimation of the copula over the entire sample period leads to a negative dependence between the equity and economic policy indices and the crude-oil return.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122343233","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":"The Financialization of Commodities","authors":"J. Mazur","doi":"10.2139/ssrn.2620639","DOIUrl":"https://doi.org/10.2139/ssrn.2620639","url":null,"abstract":"This report provides an analysis of the financilization process on the commodity market. Methods of analysis include linear regression between prices and amount invested for each commodity using the CFTC Swap Dealer Report, own simulations on portfolios composed of commodities, values at risk, moving averages calculations and charts to support our purpose. Results of data analysed show that investors do not invest regarding the prices and do not withdraw their amount depending on the volatility, as correlation could not been established. In particular, swap dealers and non-commercial traders have a passive approach, contrary to an active one which can have a an incidence on the market.The report finds the financialization evoked in the literature is not relevant to explain volatility. Swaps, options and futures help producers and buyers of commodity by providing liquidity and risk management. Reasons found for the volatility are:- Intrinsic unpredictible characteristics of commodities such as crops, climatic hazard and inelastic demand.- An historic volatility due to a fierce speculation before the market of commodities has been standardized with futures and regulatory institutions which makes us rebalance the term of financialization.- Irrelevant indicators which go against the principle of financilization: long oil futures positions and a diminution of prices is possible, commodities futures prices as a barometer of global economic strength, both lack of inventory and increasing prices in a slumping economy.The report also investigates the fact that the law of supply and demand for commodities is disrupted because of a new use of commodities: Companies tend to abandon inventory costs, which renders obsolete the mean reverting theory, commodities are not use for their initial purpose to produce goods or feed people but more and more for other purpose such as hydrocarburants or pur speculative investment which is called the flight-to-investment. The example of gold is striking. Long term perspectives such as the increasing worldwilde population and an emerging middle class which put pressure on the price are approached.The paper is backed up with professionals of commodities after the classic progress of the thesis. Interviews of professionals make more concrete our reflexion and illustrate what are the concrete repercussions on the market","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122856218","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":"A Model of Financialization of Commodities","authors":"Suleyman Basak, A. Pavlova","doi":"10.2139/ssrn.2201600","DOIUrl":"https://doi.org/10.2139/ssrn.2201600","url":null,"abstract":"A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities. In this paper, we explore the effects of financialization in a model that features institutional investors alongside traditional futures markets participants. The institutional investors care about their performance relative to a commodity index. We find that in the presence of institutional investors prices and volatilities of all commodity futures go up, but more so for the index futures than for nonindex ones. The correlations amongst commodity futures as well as in equity-commodity correlations also increase, with higher increases for index commodities. Within a framework additionally incorporating storage, we show how financial markets transmit shocks not only to futures prices but also to commodity spot prices and inventories. Commodity spot prices and inventories go up with financialization. In the presence of institutional investors shocks to any index commodity spill over to all storable commodity prices.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133283901","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":"Evaluating Commodity Exposure Opportunities","authors":"F. Benham, E. Walsh, R. Obregon","doi":"10.2139/ssrn.2602885","DOIUrl":"https://doi.org/10.2139/ssrn.2602885","url":null,"abstract":"Commodities as an asset class have been in growing demand over the last 40 years, as investors that have traditionally held portfolios of stocks and bonds seek the ‘equity-like’ returns along with diversification potential and inflation hedging characteristics available through commodities investment. However, perhaps due to their relative complexity and the large remaining disagreements in the current literature about the fundamental drivers of commodities returns, investors do not universally agree on the merits of commodity investments. This paper begins by reviewing the existing theories and fundamental drivers of returns from commodity investments to better understand the risks that commodity investors are compensated for bearing. From this perspective we will evaluate existing methods of commodity investing with a focus on why the risk premia these strategies capture are likely to persist in the future.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-05-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125505433","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":"The Role of News in Commodity Markets","authors":"S. Borovkova","doi":"10.2139/ssrn.2587285","DOIUrl":"https://doi.org/10.2139/ssrn.2587285","url":null,"abstract":"In this paper, we give a broad overview of how commodity-related news affects several aspects of commodity markets. We examine the main commodity classes: energy, agriculturals and metals, as well as market responses to news: in terms of prices, returns, volatilities and fine features of prices, such as price jumps. Market responses are analysed for different latencies, ranging from minutes to days and longer horizons. We discuss how these insights can be used in trading strategies, investment decisions and risk management.In particular, we address the following questions: • What are the distinguishing features of commodity-related news?• How commodity prices react to positive and negative sentiment in news?• How we can combine news signals from several commodity markets into an overall commodity news index? What are the relationships of such a news index with well-known commodity price indices? • Can we improve volatility forecasts by including news variables in volatility models?• Which characteristics of commodity price movements – volatility, positive and negative jumps – cause and are caused by news?","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132903490","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":"Information and the Oil Price Collapse","authors":"Bradford Cornell","doi":"10.2139/SSRN.2584796","DOIUrl":"https://doi.org/10.2139/SSRN.2584796","url":null,"abstract":"The price of West Texas Intermediate Crude (WTI) fell by almost 60% between late July 2014 and March 2015. Assuming that the oil market is relatively efficient, new information must enter the market in order for the price of crude to change more than a minimal amount associated with carrying costs. I use an event study methodology to analyze oil price changes in response to news disclosures over the analysis period. Not surprisingly, I found that most of the news releases coincident with large price movements pointed to positive supply surprises, i.e., supply being greater than expected. However, I also found that, on a significant portion of such days, there was no release of news that contained fundamental information. This is consistent with the price behavior of financial asset markets, which often exhibit large price movements that are not supported by the arrival of new information, and also supports the view that a substantial fraction of oil price movements were instead related to factors such as investor sentiment and momentum trading.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"171 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130634617","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}