The impact of speculation on commodity futures markets–A review of the findings of 100 empirical studies
M Haase, YS Zimmermann, H Zimmermann - Journal of Commodity Markets, 2016 - Elsevier
There are numerous empirical studies on the impact of speculation on commodity futures
markets. The papers strongly differ in terms of the focus variable (eg price, volatility, spill …
markets. The papers strongly differ in terms of the focus variable (eg price, volatility, spill …
The role of speculation in oil markets: What have we learned so far?
A popular view is that the surge in the real price of oil during 2003-08 cannot be explained
by economic fundamentals, but was caused by the increased financialization of oil futures …
by economic fundamentals, but was caused by the increased financialization of oil futures …
The impact of speculation on commodity prices: A Meta-Granger analysis
T Wimmer, J Geyer-Klingeberg, M Hütter… - Journal of Commodity …, 2021 - Elsevier
Abstract This paper uses Meta-Granger analysis to explain and summarize the mixed results
in the literature on the impact of financial speculation on commodity prices. The sample …
in the literature on the impact of financial speculation on commodity prices. The sample …
On the diversification benefits of commodities from the perspective of euro investors
J Belousova, G Dorfleitner - Journal of Banking & Finance, 2012 - Elsevier
This paper investigates the diversification contribution of several commodities to a portfolio
of traditional assets from the perspective of a euro investor. The approach applied in our …
of traditional assets from the perspective of a euro investor. The approach applied in our …
Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries
This article investigates the multivariate dependence between oil prices, equity markets, and
exchange rates in certain oil-importing and oil-exporting countries by applying the vine …
exchange rates in certain oil-importing and oil-exporting countries by applying the vine …
Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies
W Bessler, D Wolff - Journal of Banking & Finance, 2015 - Elsevier
An essential motive for investing in commodities is to enhance the performance of portfolios
traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample …
traditionally including only stocks and bonds. We analyze the in-sample and out-of-sample …
US monetary policy and sectoral commodity prices
Abstract Using a Structural VAR (SVAR) model, we examine the effects of the monetary
policy of the United States on sectoral commodity prices (including the non-fuel commodity …
policy of the United States on sectoral commodity prices (including the non-fuel commodity …
Forecasting spot oil price in a dynamic model averaging framework—Have the determinants changed over time?
K Drachal - Energy Economics, 2016 - Elsevier
This paper is aimed on the analysis of monthly spot oil prices (WTI) between 1986 and 2015.
The methodology is based on Dynamic Model Averaging (DMA) and Dynamic Model …
The methodology is based on Dynamic Model Averaging (DMA) and Dynamic Model …
Speculative bubbles in agricultural prices
P Adämmer, MT Bohl - The Quarterly Review of Economics and Finance, 2015 - Elsevier
We use the momentum threshold autoregressive (MTAR) approach to test for speculative
bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these …
bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these …
Information uncertainty and organizational design
E Ferracuti - Journal of Accounting and Economics, 2022 - Elsevier
This paper investigates how information uncertainty, measured through variation in the
informativeness of the public information environment, shapes the organizational design …
informativeness of the public information environment, shapes the organizational design …