[PDF] Identifying Speculative Demand Shocks In Commodity Futures Markets Through Changes In Volatility eBook

Author : Samya Beidas-Strom
Publisher : International Monetary Fund
Page : 34 pages
File Size : 16,24 MB
Release : 2014-12-12
Category : Business & Economics
ISBN : 1498333486

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How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Author : Matthias Kalkuhl
Publisher : Springer
Page : 620 pages
File Size : 33,63 MB
Release : 2016-04-12
Category : Business & Economics
ISBN : 3319282018

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This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Author : Craig Pirrong
Publisher : Cambridge University Press
Page : 238 pages
File Size : 23,32 MB
Release : 2011-10-31
Category : Business & Economics
ISBN : 1139501976

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Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.

Author : Jean-Paul Chavas
Publisher : University of Chicago Press
Page : 394 pages
File Size : 20,90 MB
Release : 2014-10-14
Category : Business & Economics
ISBN : 022612892X

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"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.

Author : Takatoshi Ito
Publisher : University of Chicago Press
Page : 346 pages
File Size : 38,87 MB
Release : 2011-03
Category : Business & Economics
ISBN : 0226386899

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Fluctuations of commodity prices, most notably of oil, capture considerable attention and have been tied to important economic effects. This book advances our understanding of the consequences of these fluctuations, providing both general analysis and a particular focus on the countries of the Pacific Rim.

Author : Lukas Boer
Publisher : International Monetary Fund
Page : 41 pages
File Size : 36,18 MB
Release : 2021-10-12
Category : Business & Economics
ISBN : 1513599372

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The energy transition requires substantial amounts of metals such as copper, nickel, cobalt and lithium. Are these metals a key bottleneck? We identify metal-specific demand shocks, estimate supply elasticities and pin down the price impact of the energy transition in a structural scenario analysis. Metal prices would reach historical peaks for an unprecedented, sustained period in a net-zero emissions scenario. The total value of metals production would rise more than four-fold for the period 2021 to 2040, rivaling the total value of crude oil production. Metals are a potentially important input into integrated assessments models of climate change.

Author : Mr.Aasim M. Husain
Publisher : International Monetary Fund
Page : 41 pages
File Size : 40,76 MB
Release : 2015-07-14
Category : Business & Economics
ISBN : 151357227X

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The sharp drop in oil prices is one of the most important global economic developments over the past year. The SDN finds that (i) supply factors have played a somewhat larger role than demand factors in driving the oil price drop, (ii) a substantial part of the price decline is expected to persist into the medium term, although there is large uncertainty, (iii) lower oil prices will support global growth, (iv) the sharp oil price drop could still trigger financial strains, and (v) policy responses should depend on the terms-of-trade impact, fiscal and external vulnerabilities, and domestic cyclical position.

Author : Leonardo Martinez-Diaz
Publisher : U.S. Commodity Futures Trading Commission
Page : 196 pages
File Size : 43,51 MB
Release : 2020-09-09
Category : Science
ISBN : 057874841X

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This publication serves as a roadmap for exploring and managing climate risk in the U.S. financial system. It is the first major climate publication by a U.S. financial regulator. The central message is that U.S. financial regulators must recognize that climate change poses serious emerging risks to the U.S. financial system, and they should move urgently and decisively to measure, understand, and address these risks. Achieving this goal calls for strengthening regulators’ capabilities, expertise, and data and tools to better monitor, analyze, and quantify climate risks. It calls for working closely with the private sector to ensure that financial institutions and market participants do the same. And it calls for policy and regulatory choices that are flexible, open-ended, and adaptable to new information about climate change and its risks, based on close and iterative dialogue with the private sector. At the same time, the financial community should not simply be reactive—it should provide solutions. Regulators should recognize that the financial system can itself be a catalyst for investments that accelerate economic resilience and the transition to a net-zero emissions economy. Financial innovations, in the form of new financial products, services, and technologies, can help the U.S. economy better manage climate risk and help channel more capital into technologies essential for the transition. https://doi.org/10.5281/zenodo.5247742