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The Simple Economics of Commodity Price Speculation

Citations

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Cited by:

  1. Ing-Haw Cheng & Wei Xiong, 2014. "Financialization of Commodity Markets," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 419-441, December.
  2. Prehn, Sören & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014. "The impact of long-only index funds on price discovery and market performance in agricultural futures markets [Der Einfluss von Long-only-Indexfonds auf die Preisfindung und das Marktergebnis an la," IAMO Discussion Papers 147, Leibniz Institute of Agricultural Development in Transition Economies (IAMO).
  3. Lopez-Martin, Bernabe & Leal, Julio & Martinez Fritscher, Andre, 2019. "Commodity price risk management and fiscal policy in a sovereign default model," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 304-323.
  4. Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, 2023. "A weekly structural VAR model of the US crude oil market," Energy Economics, Elsevier, vol. 121(C).
  5. Baumann, Robert & Engelhardt, Bryan & Fuller, David L., 2018. "Monopoly power with a short selling constraint," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 8-13.
  6. Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2015. "An equilibrium model for spot and forward prices of commodities," Papers 1502.00674, arXiv.org, revised Jan 2017.
  7. Singh, Jitendra & Ahmad, Wasim & Mishra, Anil, 2019. "Coherence, connectedness and dynamic hedging effectiveness between emerging markets equities and commodity index funds," Resources Policy, Elsevier, vol. 61(C), pages 441-460.
  8. Mayer, Herbert & Rathgeber, Andreas & Wanner, Markus, 2017. "Financialization of metal markets: Does futures trading influence spot prices and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 300-316.
  9. Eliasson, Jonas & Proost, Stef, 2015. "Is sustainable transport policy sustainable?," Transport Policy, Elsevier, vol. 37(C), pages 92-100.
  10. Yao, Wei & Alexiou, Constantinos, 2022. "Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility. Novel evidence for the US economy," International Review of Financial Analysis, Elsevier, vol. 80(C).
  11. Cartwright, Phillip A. & Riabko, Natalija, 2015. "Measuring the effect of oil prices on wheat futures prices," Research in International Business and Finance, Elsevier, vol. 33(C), pages 355-369.
  12. Awan, Obaid A., 2019. "Price discovery or noise: The role of arbitrage and speculation in explaining crude oil price behaviour," Journal of Commodity Markets, Elsevier, vol. 16(C).
  13. Birge, John R. & Hortaçsu, Ali & Mercadal, Ignacia & Pavlin, J. Michael, 2018. "Limits to arbitrage in electricity markets: A case study of MISO," Energy Economics, Elsevier, vol. 75(C), pages 518-533.
  14. Guo, Jiaqi & Long, Shaobo & Luo, Weijie, 2022. "Nonlinear effects of climate policy uncertainty and financial speculation on the global prices of oil and gas," International Review of Financial Analysis, Elsevier, vol. 83(C).
  15. Yannick Le Pen & Benoît Sévi, 2013. "Futures Trading and the Excess Comovement of Commodity Prices," Working Papers halshs-00793724, HAL.
  16. Dvir, Eyal & Rogoff, Kenneth, 2014. "Demand effects and speculation in oil markets: Theory and evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 113-128.
  17. Baumeister, Christiane & Guérin, Pierre & Kilian, Lutz, 2015. "Do high-frequency financial data help forecast oil prices? The MIDAS touch at work," International Journal of Forecasting, Elsevier, vol. 31(2), pages 238-252.
  18. An, Henry & Qiu, Feng & Rude, James, 2021. "Volatility spillovers between food and fuel markets: Do administrative regulations affect the transmission?," Economic Modelling, Elsevier, vol. 102(C).
  19. Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
  20. Phillip A. Cartwright & Natalija Riabko, 2016. "Further evidence on the explanatory power of spot food and energy commodities market prices for futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 579-605, October.
  21. Sun, Zesheng & Wang, Yaoqing & Zhou, Xu & Yang, Lunan, 2019. "The roundabout from interest rates to commodity prices in China: The role of money flow," Resources Policy, Elsevier, vol. 61(C), pages 627-642.
  22. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
  23. Christophe Gouel & Nicolas Legrand, 2022. "The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data," Working Papers 2022-04, CEPII research center.
  24. Phaisan Pattanakooha & Pongsa Pornchaiwisetgul, 2015. "The Effect of Stock, Government Policy, and Monopoly on Asymmetric Price Transmission in Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 926-933.
  25. repec:zbw:iamodp:169081 is not listed on IDEAS
  26. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
  27. Muhammad Arshad Haral & Mudassar Yasin, 2019. "Determinants of Speculative Demand of Wheat and Its Impact on Consumer Welfare Loss," Journal of Economic Impact, Science Impact Publishers, vol. 1(3), pages 87-91.
  28. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  29. ElFayoumi, Khalid, 2018. "The balance sheet effects of oil market shocks: An industry level analysis," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 112-127.
  30. Valenti, Daniele & Bertoni, Danilo & Cavicchioli, Davide & Olper, Alessandro, 2023. "Understanding the role of supply and demand factors in the global wheat market: a Structural Vector Autoregressive approach," FEEM Working Papers 338780, Fondazione Eni Enrico Mattei (FEEM).
  31. Sharma, Shahil & Escobari, Diego, 2018. "Identifying price bubble periods in the energy sector," Energy Economics, Elsevier, vol. 69(C), pages 418-429.
  32. Chavas, Jean-Paul & Li, Jian, 2017. "The Effects of Private Stocks versus Public Stocks on Food Price Volatility," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 259185, Agricultural and Applied Economics Association.
  33. repec:ipg:wpaper:2013-019 is not listed on IDEAS
  34. Prehn, S. & Glauben, T. & Loy, J.-P. & Pies, I. & Will, M.G., 2015. "Der Einfluss von long-only-Indexfonds auf die Preisbildung und das Marktergebnis an landwirtschaftlichen Warenterminmärkten," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 50, March.
  35. Duc Huynh, Toan Luu & Burggraf, Tobias & Nasir, Muhammad Ali, 2020. "Financialisation of natural resources & instability caused by risk transfer in commodity markets," Resources Policy, Elsevier, vol. 66(C).
  36. Sung Je Byun, 2017. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  37. James D. Hamilton & Jing Cynthia Wu, 2015. "Effects Of Index‐Fund Investing On Commodity Futures Prices," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(1), pages 187-205, February.
  38. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers tel-03419405, HAL.
  39. Manuel Landajo & María José Presno & Paula Fernández González, 2021. "Stationarity in the Prices of Energy Commodities. A Nonparametric Approach," Energies, MDPI, vol. 14(11), pages 1-16, June.
  40. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.
  41. Kolodziej, Marek & Kaufmann, Robert K. & Kulatilaka, Nalin & Bicchetti, David & Maystre, Nicolas, 2014. "Crude oil: Commodity or financial asset?," Energy Economics, Elsevier, vol. 46(C), pages 216-223.
  42. Vincent Bodart & François Courtoy & Erica Perego, 2021. "World Interest Rates and Macroeconomic Adjustments in Developing Commodity Producing Countries," Working Papers 2021-01, CEPII research center.
  43. Maryam Ahmadi & Niaz Bashiri Behmiri & Matteo Manera, 2020. "The theory of storage in the crude oil futures market, the role of financial conditions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(7), pages 1160-1175, July.
  44. Fernandes, Leonardo H.S. & Araújo, Fernando H.A., 2020. "Taxonomy of commodities assets via complexity-entropy causality plane," Chaos, Solitons & Fractals, Elsevier, vol. 137(C).
  45. Prehn, Soren & Glauben, Thomas & Loy, Jens-Peter & Pies, Ingo & Will, Matthias Georg, 2014. "Der Einfluss Von Long-Only-Indexfonds Auf Die Preisbildung Und Das Marktergebnis An Warenterminmärkten," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187363, German Association of Agricultural Economists (GEWISOLA).
  46. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.
  47. Kilian, Lutz & Zhou, Xiaoqing, 2018. "Modeling fluctuations in the global demand for commodities," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 54-78.
  48. Paschmann, Martin, 2017. "Economic Analysis of Price Premiums in the Presence of Non-convexities - Evidence from German Electricity Markets," EWI Working Papers 2017-12, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  49. Wen, Jun & Zhao, Xin-Xin & Chang, Chun-Ping, 2021. "The impact of extreme events on energy price risk," Energy Economics, Elsevier, vol. 99(C).
  50. Mohammad Isleimeyyeh, 2020. "The role of financial investors in determining the commodity futures risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1375-1397, September.
  51. Xiao, Qin & Yan, Meilan & Zhang, Dalu, 2023. "Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach," International Review of Financial Analysis, Elsevier, vol. 89(C).
  52. Uliha, Gábor, 2016. "Az olajár gyengülő makrogazdasági hatásai. Két versengő elmélet szintézise [Weakening macroeconomic effects of the oil price. A synthesis of two competing theories]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 787-818.
  53. Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
  54. Boateng, Ebenezer & Asafo-Adjei, Emmanuel & Addison, Alex & Quaicoe, Serebour & Yusuf, Mawusi Ayisat & Abeka, Mac Junior & Adam, Anokye M., 2022. "Interconnectedness among commodities, the real sector of Ghana and external shocks," Resources Policy, Elsevier, vol. 75(C).
  55. Gronwald, Marc, 2016. "Explosive oil prices," Energy Economics, Elsevier, vol. 60(C), pages 1-5.
  56. Meng, Fanyi & Liu, Li, 2019. "Analyzing the economic sources of oil price volatility: An out-of-sample perspective," Energy, Elsevier, vol. 177(C), pages 476-486.
  57. Daniel Bierbaumer & Malte Rieth & Anton Velinov, 2018. "Nonlinear Intermediary Pricing in the Oil Futures Market," Discussion Papers of DIW Berlin 1722, DIW Berlin, German Institute for Economic Research.
  58. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
  59. Pascal Towbin & Mr. Sebastian Weber, 2015. "Price Expectations and the U.S. Housing Boom," IMF Working Papers 2015/182, International Monetary Fund.
  60. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  61. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.
  62. Luca Barbaglia & Christophe Croux & Ines Wilms, 2017. "Volatility spillovers and heavy tails: a large t-Vector AutoRegressive approach," Working Papers of Department of Decision Sciences and Information Management, Leuven 590528, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  63. Itay Goldstein & Liyan Yang, 2022. "Commodity Financialization and Information Transmission," Journal of Finance, American Finance Association, vol. 77(5), pages 2613-2667, October.
  64. Tobi Olasojiand & Elijah Acquah-Andoh, 2016. "Evaluating The Short Run Effects Of U.S. Crude Oil Inventory Levels On Wti Crude Oil Price From 1993 - 2013," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 4(3), pages 64-84.
  65. Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2018. "An Equilibrium Model for Spot and Forward Prices of Commodities," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 152-180, February.
  66. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2018. "Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices," Energy Economics, Elsevier, vol. 72(C), pages 486-504.
  67. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  68. Yanhong Feng & Xiaolei Wang & Shuanglian Chen & Yanqiong Liu, 2022. "Impact of Oil Financialization on Oil Price Fluctuation: A Perspective of Heterogeneity," Energies, MDPI, vol. 15(12), pages 1-20, June.
  69. Basu Kaushik, 2014. "The Art of Currency Manipulation: How Some Profiteer by Deliberately Distorting Exchange Rates," Journal of Globalization and Development, De Gruyter, vol. 4(2), pages 199-211, February.
  70. Storhas, Dominik P. & De Mello, Lurion & Singh, Abhay Kumar, 2020. "Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach," Energy Economics, Elsevier, vol. 92(C).
  71. Chkir, Imed & Guesmi, Khaled & Brayek, Angham Ben & Naoui, Kamel, 2020. "Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries," Research in International Business and Finance, Elsevier, vol. 54(C).
  72. Samya Beidas-Strom & Mr. Andrea Pescatori, 2014. "Oil Price Volatility and the Role of Speculation," IMF Working Papers 2014/218, International Monetary Fund.
  73. Jin, Xin, 2019. "The role of market expectations in commodity price dynamics: Evidence from oil data," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 1-18.
  74. Aiube, Fernando Antonio Lucena & Faquieri, Winicius Botelho, 2019. "Can Gaussian factor models of commodity prices capture the financialization phenomenon?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  75. repec:zbw:iamodp:161078 is not listed on IDEAS
  76. Itzhak Ben-David & Pascal Towbin & Sebastian Weber, 2019. "Inferring Expectations from Observables: Evidence from the Housing Market," NBER Working Papers 25702, National Bureau of Economic Research, Inc.
  77. Don Bredin & Valerio Potì & Enrique Salvador, 2022. "Food Prices, Ethics and Forms of Speculation," Journal of Business Ethics, Springer, vol. 179(2), pages 495-509, August.
  78. Kaushik Ranjan Bandyopadhyay, 2022. "Oil and Gas Markets and COVID-19: A Critical Rumination on Drivers, Triggers, and Volatility," Energies, MDPI, vol. 15(8), pages 1-21, April.
  79. Irarrazabal, Alfonso A. & Ma, Lin, 2018. "The Effect of Income Shocks on the Oil Price," Working Paper Series 9-2018, Norwegian University of Life Sciences, School of Economics and Business.
  80. Filippo Natoli, 2021. "Financialization Of Commodities Before And After The Great Financial Crisis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 488-511, April.
  81. Daniele Valenti, 2018. "Modelling the Global Price of Oil: Is there any Role for the Oil Futures-spot Spread?," Working Papers 2018.06, Fondazione Eni Enrico Mattei.
  82. Holtemöller Oliver, 2013. "Explosive Preisentwicklung und spekulative Blasen auf Rohstoffmärkten / Explosive behavior and speculative bubbles on commodity markets," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 64(1), pages 405-420, January.
  83. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
  84. Michael Pedersen, 2015. "The Impact of Commodity Price Shocks in a Major Producing Economy. The Case of Copper and Chile," Working Papers Central Bank of Chile 753, Central Bank of Chile.
  85. Barbaglia, Luca & Croux, Christophe & Wilms, Ines, 2020. "Volatility spillovers in commodity markets: A large t-vector autoregressive approach," Energy Economics, Elsevier, vol. 85(C).
  86. Assia Elgouacem, 2018. "Essays on investment and saving [Essais sur l’investissement et l’épargne]," SciencePo Working papers Main tel-03419405, HAL.
  87. Josué M. Polanco-Martínez & Luis M. Abadie, 2016. "Analyzing Crude Oil Spot Price Dynamics versus Long Term Future Prices: A Wavelet Analysis Approach," Energies, MDPI, vol. 9(12), pages 1-19, December.
  88. Gozgor, Giray & Lau, Chi Keung Marco & Bilgin, Mehmet Huseyin, 2016. "Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 35-45.
  89. Jian Yang & Zheng Li & Hong Miao, 2021. "Volatility spillovers in commodity futures markets: A network approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 1959-1987, December.
  90. Byrne, Joseph P. & Lorusso, Marco & Xu, Bing, 2019. "Oil prices, fundamentals and expectations," Energy Economics, Elsevier, vol. 79(C), pages 59-75.
  91. Ederington, Louis H. & Fernando, Chitru S. & Hoelscher, Seth A. & Lee, Thomas K. & Linn, Scott C., 2019. "Characteristics of petroleum product prices: A survey," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 1-15.
  92. Cui, Jingbo & Martin, Jeremy I., 2017. "Impacts of US biodiesel mandates on world vegetable oil markets," Energy Economics, Elsevier, vol. 65(C), pages 148-160.
  93. Michael Pedersen, 2019. "The impact of commodity price shocks in a copper-rich economy: the case of Chile," Empirical Economics, Springer, vol. 57(4), pages 1291-1318, October.
  94. repec:ipg:wpaper:19 is not listed on IDEAS
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