ERN: Other Econometric Modeling: Commodity Markets (Topic)最新文献_第6页

Exogenous Shocks and Growth Crises in Low-Income Countries: A Vulnerability Index 低收入国家的外生冲击与增长危机:脆弱性指数

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2012-11-01 DOI: 10.5089/9781475528510.001.A001

Era Dabla‐Norris, Yasemin Bal-Gunduz

引用次数: 74

Is the Convenience Yield a Good Indicator for a Commodity’s Criticality? 便利收益是商品临界性的好指标吗?

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2012-06-06 DOI: 10.2139/ssrn.2084924

C. Stepanek, Matthias Walter, A. Rathgeber

{"title":"Is the Convenience Yield a Good Indicator for a Commodity’s Criticality?","authors":"C. Stepanek, Matthias Walter, A. Rathgeber","doi":"10.2139/ssrn.2084924","DOIUrl":"https://doi.org/10.2139/ssrn.2084924","url":null,"abstract":"For some commodities, the strong increase in demand over the last decade will have major impact on their future availability. Thus, the importance of assessing a commodity’s criticality by means of criticality indicators continuously increases. In the literature, numerous indicators for criticality are proposed (e.g., spot prices, the Herfindhal-Hirschmann Index, etc.). In order to address some of the major shortcomings of these existing indicators, especially regarding their predictive power, we propose to use the convenience yield of commodity futures as criticality indicator. In the paper we aimed to test the applicability of the convenience yield as indicator for a commodity’s future criticality. Therefore we used historical convenience yields from 3, 15, and 27 months futures contracts for five major industrial metals. We compared the convenience yields at the beginning of the contracts with known criticality indicators until the time of maturity. We found evidence that the convenience yield in general has predictive power on the static stock lifetime (i.e. inventory volume / turnover) and future spot prices. Furthermore we show evidence that with some restrictions the convenience yield suits to be an applicable indicator for a commodity’s criticality.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134456313","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

Financialization of Commodities 商品金融化

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2011-12-27 DOI: 10.5709/CE.1897-9254.24

M. Falkowski

{"title":"Financialization of Commodities","authors":"M. Falkowski","doi":"10.5709/CE.1897-9254.24","DOIUrl":"https://doi.org/10.5709/CE.1897-9254.24","url":null,"abstract":"The basic theory of price formation tells us how the price of a particular asset will change based on the adjustment to its supply and demand. However, values of assets are also determined by other business fundamentals, company’s and world events, human psychology, and investors’ belief about the possible future profit. In recent history that lead to an increase of individual and institutional investors’ interest in allocating their resources in commodity markets. With a large inflow of capital commodities’ prices started to rise making them attractive components to effective investment portfolios. The presented paper addresses the issue of so called commodities ‘financialization’ process. It looks at the main factors standing behind commodities’ price movements and to what extent financial market participants contributed to commodities price volatility in recent years. Based on the data examined it distinguishes the involvement of both commercial and non-commercial traders in short and long term periods of time. As well as explaining the impact of growing investors’ interest in commodity markets it defines other market forces - like currency appreciations and emerging markets - as being part of increased volatility in raw and soft commodity markets. Along with market examination the paper focuses on possible future outcomes in attempts to regulate commodities derivatives markets and potential effects of those efforts.","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124403024","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: 41

Intelligent Commodity Trading and Risk Management 智能商品交易与风险管理

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2011-02-16 DOI: 10.2139/SSRN.2612245

H. Till

引用次数: 0

Analysis of Commodity Distribution Pattern and Price Setting Pattern 商品流通模式与定价模式分析

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2010-08-01 DOI: 10.14414/JEBAV.V13I2.396

Dwi Kartikasari

引用次数: 1

Price Discovery and Convergence in the Indian Commodities Market 印度商品市场的价格发现与趋同

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2010-04-09 DOI: 10.1108/17538251011035873

V. Iyer, A. Pillai

{"title":"Price Discovery and Convergence in the Indian Commodities Market","authors":"V. Iyer, A. Pillai","doi":"10.1108/17538251011035873","DOIUrl":"https://doi.org/10.1108/17538251011035873","url":null,"abstract":"Purpose - The purpose of this paper is to examine whether futures markets play a dominant role in the price discovery process. The rate of convergence of information from one market to another is analyzed to infer the efficiency of futures as an effective hedging tool. Design/methodology/approach - The paper uses a two-regime threshold vector autoregression (TVAR) and a two-regime threshold autoregression for six commodities. The regimes (or states) are defined around the expiration week of the futures contract. Findings - This paper finds evidence for price discovery process happening in the futures market in five out of six commodities. However, the rate of convergence of information is slow, particularly in the non-expiration weeks. For copper, gold and silver, the rate of convergence is almost instantaneous during the expiration week of the futures contract affirming the utility of futures contracts as an effective hedging tool. In case of chickpeas, nickel and rubber the convergence worsens during the expiration week indicating the non-usability of futures contract for hedging. Originality/value - This paper extends the framework developed by Garbade","PeriodicalId":388404,"journal":{"name":"ERN: Other Econometric Modeling: Commodity Markets (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115570679","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: 58

The Impact of Indexing in the Equity and Commodity Markets 指数对股票和商品市场的影响

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 2001-03-20 DOI: 10.2139/ssrn.2615212

H. Till, J. Eagleeye

引用次数: 0

The Impact of Kumtor Gold Mine on the Economic and Social Development of the Kyrgyz Republic 库姆托尔金矿对吉尔吉斯经济社会发展的影响

ERN: Other Econometric Modeling: Commodity Markets (Topic) Pub Date : 1900-01-01 DOI: 10.2139/SSRN.2946720

R. Mogilevskii, Nazgul Abdrazakova, Saule Chalbasova

引用次数: 8