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Facts and Fantasies about Commodity Futures

Citations

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  1. Bodart, V. & Candelon, B. & Carpantier, J.-F., 2012. "Real exchanges rates in commodity producing countries: A reappraisal," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1482-1502.
  2. Mr. Shaun K. Roache, 2008. "Commodities and the Market Price of Risk," IMF Working Papers 2008/221, International Monetary Fund.
  3. Modena, Matteo, 2011. "Agricultural commodities and financial markets," MPRA Paper 36416, University Library of Munich, Germany, revised 30 Sep 2011.
  4. Daniele Girardi, 2015. "Financialization of food . Modelling the time-varying relation between agricultural prices and stock market dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 29(4), pages 482-505, July.
  5. Ke Tang & Wei Xiong, 2012. "Index Investment and the Financialization of Commodities," Financial Analysts Journal, Taylor & Francis Journals, vol. 68(6), pages 54-74, November.
  6. Sruthy Madhavan & S. Sreejith, 2022. "A Comparative Analysis on the Role and Market Linkages of Gold Backed Assets During COVID-19 Pandemic," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 69(3), pages 417-433, August.
  7. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Futures and Credit Default Swaps," Post-Print hal-01410748, HAL.
  8. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
  9. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
  10. Yip, Pick Schen & Brooks, Robert & Do, Hung Xuan & Nguyen, Duc Khuong, 2020. "Dynamic volatility spillover effects between oil and agricultural products," International Review of Financial Analysis, Elsevier, vol. 69(C).
  11. Acharya, Ram N. & Gentle, Paul F. & Mishra, Ashok K. & Paudel, Krishna P., 2008. "Examining The Crb Index As An Indicator For U.S. Inflation," 2008 Annual Meeting, February 2-6, 2008, Dallas, Texas 6760, Southern Agricultural Economics Association.
  12. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
  13. Davies, Phil & Minton, Bernadette & Schrand, Catherine, 2008. "Commodity Price Exposure and Ownerhsip Clienteles," Working Paper Series 2008-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  14. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  15. Amalia, Shendy & Effendi, Kharisya Ayu & Riantani, Suskim, 2024. ""Carbon Spectacular" - Exploring the Path to Enhance the Precision of Fiscal and Tax Support for Innovative Technologies in Energy Conservation and Emission Reduction," OSF Preprints 4rydm, Center for Open Science.
  16. Mukherjee, Dr. Kedar nath, 2011. "Commodity investments: opportunities for Indian institutional investors," MPRA Paper 33510, University Library of Munich, Germany.
  17. Girardi, Daniele, 2012. "A brief essay on the financialization of agricultural commodity markets," MPRA Paper 44771, University Library of Munich, Germany.
  18. Dwight R. Sanders & Scott H. Irwin & Robert P. Merrin, 2010. "The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 32(1), pages 77-94.
  19. Bastourre, Diego, 2008. "Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio [Structural break or financial speculation in commodity markets? A multivar," MPRA Paper 9910, University Library of Munich, Germany.
  20. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc.
  21. John Elder & Apostolos Serletis, 2008. "Long memory in energy futures prices," Review of Financial Economics, John Wiley & Sons, vol. 17(2), pages 146-155.
  22. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 13, pages 445-473, SUERF - The European Money and Finance Forum.
  23. Elif Arbatli, 2008. "Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account," Staff Working Papers 08-48, Bank of Canada.
  24. Faccio, Mara & Morck, Randall & Deniz Yavuz, M., 2021. "Business groups and the incorporation of firm-specific shocks into stock prices," Journal of Financial Economics, Elsevier, vol. 139(3), pages 852-871.
  25. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2007. "Smart Money? The Forecasting Ability of CFTC Large Traders," 2007 Conference, April 16-17, 2007, Chicago, Illinois 37556, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  26. Pagano Patrizio & Pisani Massimiliano, 2009. "Risk-Adjusted Forecasts of Oil Prices," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-28, June.
  27. Erkko Etula, 2013. "Broker-Dealer Risk Appetite and Commodity Returns," Journal of Financial Econometrics, Oxford University Press, vol. 11(3), pages 486-521, June.
  28. Małgorzata Just & Aleksandra Łuczak, 2020. "Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods," Sustainability, MDPI, vol. 12(6), pages 1-22, March.
  29. Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," International Economics, CEPII research center, issue 126-127, pages 51-71.
  30. Stewart, Shamar L. & Massa, Olga Isengildina & Hassman, Colburn & Leon, Maximo de, 2023. "ETP tracking of U.S. agricultural and energy markets," Journal of Commodity Markets, Elsevier, vol. 31(C).
  31. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
  32. Michał Falkowski, 2011. "Financialization of commodities," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(4), December.
  33. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010. "The macroeconomic determinants of volatility in precious metals markets," Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
  34. Ron Bird & Harry Liem & Susan Thorp, 2014. "Infrastructure: Real Assets and Real Returns," European Financial Management, European Financial Management Association, vol. 20(4), pages 802-824, September.
  35. Mr. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 2009/090, International Monetary Fund.
  36. Thomas Kremser & Margarethe Rammerstorfer, 2017. "Predictive Performance and Bias: Evidence from Natural Gas Markets," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 7(2), pages 1-26, June.
  37. Kae-Yih Tzeng & Joseph Chang Pying Shieh, 2016. "The transmission from equity markets to commodity markets in crises periods," Applied Economics, Taylor & Francis Journals, vol. 48(48), pages 4666-4689, October.
  38. Su, Yongyang & Lau, Marco Chi Keung, 2010. "Strategic asset allocation and intertemporal demands: with commodities as an asset class," MPRA Paper 26337, University Library of Munich, Germany.
  39. Dieter Hess & He Huang & Alexandra Niessen, 2008. "How do commodity futures respond to macroeconomic news?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 22(2), pages 127-146, June.
  40. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
  41. Adam Zaremba, 2011. "Sources of Return in the Index Futures Markets," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 5(2), June.
  42. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," IIE, Working Papers 072, IIE, Universidad Nacional de La Plata.
  43. Adjemian, Michael K. & Janzen, Joseph & Carter, Colin A. & Smith, Aaron, 2014. "Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement," Economic Research Report 167369, United States Department of Agriculture, Economic Research Service.
  44. Matilda Pajo, 2021. "Consequences of the Totalitarian past on the Albanian Post- Communist Society," European Journal of Multidisciplinary Studies Articles, Revistia Research and Publishing, vol. 1, September.
  45. Górska, Anna & Krawiec, Monika, 2016. "The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 16(31), pages 1-11, December.
  46. George M. Korniotis, 2009. "Does speculation affect spot price levels? the case of metals with and without futures markets," Finance and Economics Discussion Series 2009-29, Board of Governors of the Federal Reserve System (U.S.).
  47. Mensi, Walid & Hammoudeh, Shawkat & Kang, Sang Hoon, 2015. "Precious metals, cereal, oil and stock market linkages and portfolio risk management: Evidence from Saudi Arabia," Economic Modelling, Elsevier, vol. 51(C), pages 340-358.
  48. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.
  49. Velappan Shalini & Krishna Prasanna P, 2015. "Financial Crisis and Financialization Acuity on the Diversification Benefits of Commodities: A Stochastic Asset Allocation Framework," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(4), pages 693-708, April.
  50. Girardi, Daniele, 2011. "Do financial investors affect commodity prices? The case of Hard Red Winter Wheat," MPRA Paper 35670, University Library of Munich, Germany.
  51. Christopher L. Foote & Jane Sneddon Little, 2011. "Oil and the macroeconomy in a changing world: a conference summary," Public Policy Discussion Paper 11-3, Federal Reserve Bank of Boston.
  52. Casassus, Jaime & Ceballos, Diego & Higuera, Freddy, 2010. "Correlation structure between inflation and oil futures returns: An equilibrium approach," Resources Policy, Elsevier, vol. 35(4), pages 301-310, December.
  53. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, June.
  54. Cavanaugh, Grant & Penick, Michael, 2018. "The lifecycle of exchange-traded derivatives," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 47-68.
  55. Kamil Smolík & Michal Karas & Oldřich Rejnuš, 2014. "How Macroecomic Factors Influence the Commodity Market in the Financialization Period: The Case of S & P GSCI Commodity Index," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 62(6), pages 1417-1425.
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