Speculation And Volatility Spillover In The Crude Oil And Agricultural Commodity Markets
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| Author | : Xiaodong Du |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2009 |
| Genre | : Agricultural prices |
| ISBN | : |
This paper assesses the roles of various factors influencing the volatility of crude oil prices and the possible linkage between this volatility and agricultural commodity markets. Stochastic volatility models are applied to weekly crude oil, corn, and wheat futures prices from November 1998 to January 2009. Model parameters are estimated using Bayesian Markov chain Monte Carlo methods. The main results are as follows. Speculation, scalping, and petroleum inventories are found to be important in explaining oil price variation. Several properties of crude oil price dynamics are established, including mean-reversion, a negative correlation between price and volatility, volatility clustering, and infrequent compound jumps. We find evidence of volatility spillover among crude oil, corn, and wheat markets after the fall of 2006. This could be largely explained by tightened interdependence between these markets induced by ethanol production.
| Author | : Scott H. Irwin |
| Publisher | : CABI |
| Total Pages | : 279 |
| Release | : 2023-04-25 |
| Genre | : Business & Economics |
| ISBN | : 1800622082 |
Commodity futures prices exploded in 2007-2008 and concerns about a new type of speculative participant in commodity futures markets began to emerge. The main argument was that unprecedented buying pressure from new "commodity index" investors created massive bubbles that resulted in prices substantially exceeding fundamental value. At the time, it was not uncommon to link concerns about speculation and high prices to world hunger, food crises, and civil unrest. Naturally, this outcry resulted in numerous regulatory proposals to restrict speculation in commodity futures markets. This book presents important research on the impact of index investment on commodity futures prices that the authors conducted over the last fifteen years. The eleven articles presented in the book follow the timeline of our involvement in the world-wide debate about index funds as it evolved after 2007. We also include an introductory chapter, new author forewords for each article chapter, and a lessons learned chapter to round out the book. Policy-makers, researchers, and market participants will find the book not only functions as useful documentation of the debate; but, also as a natural starting point when high commodity prices inevitably create the next speculation backlash.
| Author | : Thomas Hoehl |
| Publisher | : GRIN Verlag |
| Total Pages | : 89 |
| Release | : 2011-11 |
| Genre | : Business & Economics |
| ISBN | : 3656047715 |
Master's Thesis from the year 2011 in the subject Economics - Finance, grade: 8,0, Maastricht University (School of Business and Economics), language: English, abstract: This study finds that while a large part of the variation in crude oil futures prices is driven by fundamental factors, financial investment and speculation has the potential to aggravate reactions to changing fundamental variables and furthermore move prices on its own. The evidence is gathered by performing linear regressions and Granger Causality tests on futures returns, position data of different categories of futures traders on the New York Mercantile Exchange and proxies for relevant fundamental factors such as equity and exchange rate returns gathered from August 2006 to December 2010. While higher prices for crude oil naturally come along with increasing physical demand and finite world supply, future regulation might temper market volatility and guarantee that prices reflect a sustainable physical market equilibrium. The study also gives an overview of commodity market regulation and position limits on futures markets.
| Author | : Matthias Kalkuhl |
| Publisher | : Springer |
| Total Pages | : 620 |
| Release | : 2016-04-12 |
| Genre | : Business & Economics |
| ISBN | : 3319282018 |
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 | : Bhaskar Bagchi |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 225 |
| Release | : 2016-11-01 |
| Genre | : Business & Economics |
| ISBN | : 1786355531 |
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
| Author | : Samya Beidas-Strom |
| Publisher | : International Monetary Fund |
| Total Pages | : 34 |
| Release | : 2014-12-12 |
| Genre | : Business & Economics |
| ISBN | : 1498303846 |
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 | : |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2006 |
| Genre | : Natural gas |
| ISBN | : |
| Author | : Fidel Farias |
| Publisher | : GRIN Verlag |
| Total Pages | : 108 |
| Release | : 2016-07-11 |
| Genre | : Business & Economics |
| ISBN | : 3668256152 |
Diploma Thesis from the year 2010 in the subject Economics - Finance, grade: 1,3, University of Potsdam (Makroökonomische Theorie und Politik), language: English, abstract: Besonders in jüngster Zeit kommt der Analyse von Ölpreisvolatilität aus volkswirtschaftlicher Sicht eine bedeutende Rolle zu. Gegenwärtig werden bestimmte Rohstoffe wie Rohöl als relevante Anlageinstrumenten von Investoren benutzt, um sich gegen Risiken an den Finanzmärkten abzusichern. Diese Diplomarbeit beschäftigt sich mit der Berechnung von Ölpreisvolatilität in der Zeitperiode von Januar 2002 bis Juli 2009. Dabei werden Berechnungen von Ölpreisvolatilität während der Finanzkrise im Jahre 2008 untersucht. Diese Finanzkrise hat sich tiefgreifend auf die Entwicklung der Preise von Kapital- und Finanzgütern ausgewirkt. Dabei weisen die exzessiven gemessenen Werte von Preisvolatilität während der Finanzkrise auf eine strukturelle Veränderung der Preisbildung von Kapital- und Finanzgütern an den Kapital- und Finanzmärkten hin. Interessanterweise lassen sich bei der Analyse von Ölpreisvolatilität bedeutende Fakten feststellen, deren Existenz die gegenwärtig verwendeten statistischen Modelle, die sich mit der Messung von Preisvolatilität befassen, in künftigen Arbeiten komplementieren könnten. Im Rahmen dieser Diplomarbeit werden fünf wichtige statistische Modelle analysiert: ARCH, GARCH, BEKK-GARCH und Markov-switching Modell. Dazu wird aus den Ölpreisdaten der letzten 8 Jahre die tägliche Preisvolatilität berechnet, um mögliche Relationen zwischen der Volatilität am Ölmarkt und der Volatilität am Finanzmarkt zu untersuchen. Dabei werden diese implementierten Verfahren auf ihre Gültigkeit in Berechnung und Vorhersage von plötzlichen Preisveränderungen untersucht. Insbesondere wird darauf eingegangen unter welchen Bedingungen die Verfahrensergebnisse als zuverlässig gelten. Diese Diplomarbeit wurde im Rahmen eines Forschungspraktikums bei der Organisation erdölexportierender Länder (OPEC) in Wien, Österreich unter Betreuung des Lehrstuhls für Wirtschaftstheorie der Universität Potsdam, fertiggestellt
| Author | : Tobias Thürer |
| Publisher | : Logos Verlag Berlin GmbH |
| Total Pages | : 222 |
| Release | : 2016-02-05 |
| Genre | : Business & Economics |
| ISBN | : 3832538763 |
Since the mid 2000s, an increasing financialization of commodity futures markets is taking place. This has fueled an ongoing discussion about the effect of financial investments on the development of commodity prices. Against this background, the trading activities of financial speculators also come to the fore. There is the concern that such speculators can cause irrational overshootings of agricultural commodity prices, e.g. in the event of global production shocks. In such an event the decrease of total supply induces a price surge menacing food security in developing countries. Yet, the question emerges whether speculation aggravates this price increase, eventually inducing a price bubble. The relevance of this concern is reinforced by the fact that due to climate change an increased frequency and severity of global agricultural production shortfalls is at stake. If speculation evokes an additional threat to food security in the event of a production shock, the political agenda should not be confined to focus solely on the adaptation to climate change. Instead, it is then also necessary to address speculative activities on agricultural commodity markets. This book scrutinises whether speculative bubbles can be identified in the event of severe global production shocks. For this, a framework for tracing the transmission of the futures price's development on the spot market is developed. Using annual data from 1979-2012 for maize it is analysed whether production shock related price bubbles occurred.
| Author | : Qiang Ji |
| Publisher | : |
| Total Pages | : 23 |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
The influence of price volatility in the crude oil market is expanding to non-energy commodity markets. With the substitution of fossil fuels by bio-fuel and hedge strategies against inflation induced by high oil prices, the link between crude oil market and agriculture markets and metal markets has increased. This study measures the influence of the crude oil market on non-energy commodity markets before and after the 2008 financial crisis. By introducing the US dollar index as exogenous shocks, we investigate price and volatility spillover between commodity markets by constructing a bi-variate EGARCH model with time-varying correlation construction. The results reveal that the crude oil market has significant volatility spillover effects on non-energy commodity markets, which demonstrates its core position among commodity markets. The overall level of correlation strengthened after the crisis, which indicates that the consistency of market price trends was enhanced affected by economic recession. In addition, the influence of the US dollar index on commodity markets has weakened since the crisis.
