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The Dynamics Of Commodity Spot And Futures Markets
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Book Synopsis The Dynamics of Commodity Spot and Futures Markets by : Robert S. Pindyck
Download or read book The Dynamics of Commodity Spot and Futures Markets written by Robert S. Pindyck and published by . This book was released on 2001 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: I discuss the short-run dynamics of commodity prices, production, and inventories, as well as the sources and effects of market volatility. I explain how prices, rates of production, and inventory levels are interrelated, and are determined via equilibrium in two interconnected markets: a cash market for spot purchases and sales of the commodity, and a market for storage. I show how equilibrium in these markets affects and is affected by changes in the level of price volatility. I also explain the role and behavior of commodity futures markets, and the relationship between spot pries, futures prices, and inventory behavior. I illustrate these ideas with data for the petroleum complex--crude oil, heating oil, and gasoline--over the past two decades.
Book Synopsis The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield by : Katsushi Nakajima
Download or read book The Dynamics of Commodity Spot, Forward, Futures Prices and Convenience Yield written by Katsushi Nakajima and published by . This book was released on 2018 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the Hamilton-Jacobi-Bellman equation and Feynman-Kac formula, we derive relations between spot, forward, and futures prices. The convenience yield can be interpreted as shadow price of storage, short selling constraints, and limits of risk. We compare our result with the existing models. The optimal production plan and trading strategy for spot commodity and forward are also derived.
Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2015-11-05 with total page 725 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.This book covers the fundamental theory of and derivatives pricing for major commodity markets as well as the interaction between commodi
Book Synopsis Commodity Price Dynamics by : Craig Pirrong
Download or read book Commodity Price Dynamics written by Craig Pirrong and published by Cambridge University Press. This book was released on 2011-10-31 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Commodities written by H. Kent Baker and published by Oxford University Press. This book was released on 2018-03-06 with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt: Commodities: Markets, Performance, and Strategies provides a comprehensive view of commodity markets by describing and analyzing historical commodity performance, vehicles for investing in commodities, portfolio strategies, and current topics. It begins with the basics of commodity markets and various investment vehicles. The book then highlights the unique risk and return profiles of commodity investments, along with the dangers from mismanaged risk practices. The book also provides important insights into recent developments, including high frequency trading, financialization, and the emergence of virtual currencies as commodities. Readers of Commodities: Markets, Performance, and Strategies can gain an in-depth understanding about the multiple dimensions of commodity investing from experts from around the world. Commodity markets can be accessed with products that create unique risk and return dynamics for investors worldwide. The authors provide insights in a range of areas, from the economics of supply and demand for individual physical commodities through the financial products used to gain exposure to commodities. The book balances useful practical advice on commodity exposure while exposing the reader to various pitfalls inherent in these markets. Readers interested in a basic understanding will benefit as will those looking for more in-depth presentations of specific areas within commodity markets. Overall, Commodities: Markets, Performance, and Strategies provides a fresh look at the myriad dimensions of investing in these globally important markets.
Book Synopsis Commodity, Futures and Financial Markets by : L. Phlips
Download or read book Commodity, Futures and Financial Markets written by L. Phlips and published by Springer Science & Business Media. This book was released on 1990-11-30 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Louis Phlips The stabilisation of primary commodity prices, and the related issue of the stabilisation of export earnings of developing countries, have traditionally been studied without reference to the futures markets (that exist or could exist) for these commodities. These futures markets have in turn been s~udied in isolation. The same is true for the new developments on financial markets. Over the last few years, in particular sine the 1985 tin crisis and the October 1987 stock exchange crisis, it has become evident that there are inter actions between commodity, futures, and financial markets and that these inter actions are very important. The more so as trade on futures and financial markets has shown a spectacular increase. This volume brings together a number of recent and unpublished papers on these interactions by leading specialists (and their students). A first set of papers examines how the use of futures markets could help stabilising export earnings of developing countries and how this compares to the rather unsuccessful UNCTAD type interventions via buffer stocks, pegged prices and cartels. A second set of papers faces the fact, largely ignored in the literature, that commodity prices are determined in foreign currencies, with the result that developing countries suffer from the volatility of exchange rates of these currencies (even in cases where commodity prices are relatively stable). Financial markets are thus explicitly linked to futures and commodity markets.
Book Synopsis Volatility Spillovers Between Spot and Futures Markets by : Velmurugan Palaniappan Shanmugam
Download or read book Volatility Spillovers Between Spot and Futures Markets written by Velmurugan Palaniappan Shanmugam and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: In well-established and matured agricultural commodity futures market, like U.S., the futures markets are expected to serve as a central exchange for both domestic and international information and thus function as a primary mechanism for price discovery and reduce price variability through hedging activities. After having outlined the present status of U.S. agricultural commodities market, a comprehensive study on the volatility spillover between the spot and futures markets of 12 agricultural commodities is carried out to understand the dynamics of volatility factors which hinder the efficiency of those markets, by comparing two different time periods which stand different by various economical and market conditions, for arriving at relative conclusions. The Granger Causality Test results on the direction of flow of volatility between the spot and futures market shows that in majority of the commodities (6 commodities during 1995-2005 & 7 commodities during 2006-2011) there were unidirectional flow of from futures to spot markets, meaning that futures markets has significantly contributed to the volatility of spot market. There were bidirectional relationship in 5 commodities in 1995-2005 & 3 commodities in 2006-2011. This shows that due to information flow from both sides, spot to future markets and future market to spot market, both were equally responsible for causing volatility. Overall there is no evidence of abnormal volatility in the sub-period 2006-2011, compared to1995-2005. Abnormality of non-directional flow is identified in CBOT wheat during 2005-2011 which means that factors beyond futures market were responsible. Whereas, from the GARCH (1, 1) results, in terms of volatility, there is volatility clustering and persistence throughout the study period, with no abnormality during post 2006 period alone. To be specific, we show that volatility in U.S. agricultural commodities markets were prevalent during 1995-2005 and during 2006-2011, which experienced price spikes and price distortions. Hence, we conclude that huge in-flow of funds into the agricultural commodity futures market since 2006 is not the reason for volatility in US agricultural commodity market.
Book Synopsis Do Commodity Futures Help Forecast Spot Prices? by : Mr.David A Reichsfeld
Download or read book Do Commodity Futures Help Forecast Spot Prices? written by Mr.David A Reichsfeld and published by International Monetary Fund. This book was released on 2011-11-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures does not depend on the slope of the futures curve, in contrast to the predictions of well-known models of commodity markets. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting doubt on aspersions that uninformed investors participating during bull markets impede the price discovery process.
Book Synopsis A Treatise on Markets by : Joseph M. Burns
Download or read book A Treatise on Markets written by Joseph M. Burns and published by Studies in Economic Policy. This book was released on 1979 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Handbook of Commodity Investing by : Frank J. Fabozzi
Download or read book The Handbook of Commodity Investing written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2008-06-02 with total page 986 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Book Synopsis Commodity Prices and Markets by : Takatoshi Ito
Download or read book Commodity Prices and Markets written by Takatoshi Ito and published by University of Chicago Press. This book was released on 2011-03 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Spot Market written by Fouad Sabry and published by One Billion Knowledgeable. This book was released on 2024-01-22 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is Spot Market The spot market, often known as the cash market, is a public financial market that facilitates the acquisition and sale of financial instruments or commodities for immediate delivery. On the other hand, a futures market, in which delivery is scheduled for a later date, is not the same thing. The settlement process in a spot market typically takes place in T+2 working days, which means that the delivery of cash and commodities must be completed after two working days have passed since the date of the trade. An exchange or an over-the-counter (OTC) market are both viable options for using a spot market. Spot markets are able to function in any location where the necessary infrastructure is present to carry out the transaction. How you will benefit (I) Insights, and validations about the following topics: Chapter 1: Spot market Chapter 2: Derivative (finance) Chapter 3: Commodity market Chapter 4: Futures contract Chapter 5: Forward contract Chapter 6: Hedge (finance) Chapter 7: Spot contract Chapter 8: Commodity Futures Modernization Act of 2000 Chapter 9: Swap (finance) Chapter 10: Over-the-counter (finance) Chapter 11: Brent Crude Chapter 12: Foreign exchange option Chapter 13: Contract for difference Chapter 14: Securities market Chapter 15: Non-deliverable forward Chapter 16: Energy derivative Chapter 17: Option (finance) Chapter 18: Weather risk management Chapter 19: LCH (clearing house) Chapter 20: GFI Group Chapter 21: London bullion market (II) Answering the public top questions about spot market. (III) Real world examples for the usage of spot market in many fields. Who this book is for Professionals, undergraduate and graduate students, enthusiasts, hobbyists, and those who want to go beyond basic knowledge or information for any kind of Spot Market.
Download or read book Market Moves written by Maude Whitaker and published by . This book was released on 2023-11-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exploring Price Dynamics in Indian Commodity Markets Understanding Long-Term and Short-Term Relationships In this preface, we introduce our present research work, which delves into the examination of the relationship, both long-term and short-term, as well as the dynamics of price discovery and volatility spillover between the spot and futures commodity markets in India. Furthermore, this thesis aims to detect variations in primary outcomes during distinct crisis periods, namely the Global Financial Crisis (GFC) and the European Sovereign Debt Crisis (ESDC). Data and Objectives Our study leverages daily closing price data for 12 commodities spanning various sectors, covering the period from January 1, 2007, to December 31, 2017. The overarching objectives of this investigation encompass the examination of cointegration, the elucidation of the price discovery function, and the analysis of the volatility spillover effect between the Indian spot and futures commodity markets. To ensure a nuanced understanding and time-dependent results, we partitioned the data into four distinct sub-periods: the GFC period from January 1, 2007, to November 12, 2008; the post-GFC period from November 13, 2008, to April 11, 2011; the ESDC period from April 12, 2011, to August 31, 2015; and finally, the post-ESDC period spanning from September 1, 2015, to December 31, 2017. Methodology To achieve these objectives, we employ a range of econometric tools selected based on previous scholarly literature. These tools encompass the Unit Root test, including the Augmented Dickey Fuller and Phillips-Perron tests, Johansen's Cointegration test, Vector Error Correction Model (VECM), Vector Autoregression (VAR), Autoregressive Distributed Lag (ARDL) model, Granger Causality test, and the **Glosten-Jagannathan-Runkle Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH) model. Key Findings Our findings reveal that, in the long-term, all commodities exhibit cointegration with their respective spot and futures markets, with the exception of natural gas and soybean during the post-GFC period, gold, aluminium, and lead during the ESDC period, and Jeera during the post-ESDC period. This suggests that these exceptions signify efficiency between their spot and futures markets. In the short-term, all commodities demonstrate cointegration with their spot and futures markets, except Jeera during the GFC and post-GFC periods.
Book Synopsis Principles of Commodity Economics and Finance by : Daniel P. Ahn
Download or read book Principles of Commodity Economics and Finance written by Daniel P. Ahn and published by MIT Press. This book was released on 2019-04-09 with total page 229 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous but practical introduction to the economic, financial, and political principles underlying commodity markets. Commodities have become one of the fastest growing asset classes of the last decade and the object of increasing attention from investors, scholars, and policy makers. Yet existing treatments of the topic are either too theoretical, ignoring practical realities, or largely narrative and nonrigorous. This book bridges the gap, striking a balance between theory and practice. It offers a solid foundation in the economic, financial, and political principles underlying commodities markets. The book, which grows out of courses taught by the author at Columbia and Johns Hopkins, can be used by graduate students in economics, finance, and public policy, or as a conceptual reference for practitioners. After an introduction to basic concepts and a review of the various types of commodities—energy, metals, agricultural products—the book delves into the economic and financial dynamics of commodity markets, with a particular focus on energy. The text covers fundamental demand and supply for resources, the mechanics behind commodity financial markets, and how they motivate investment decisions around both physical and financial portfolio exposure to commodities, and the evolving political and regulatory landscape for commodity markets. Additional special topics include geopolitics, financial regulation, and electricity markets. The book is divided into thematic modules that progress in complexity. Text boxes offer additional, related material, and numerous charts and graphs provide further insight into important concepts.
Book Synopsis Modeling Transactions Costs Band and Nonlinear Price Dynamics in Forest Commodity Markets by :
Download or read book Modeling Transactions Costs Band and Nonlinear Price Dynamics in Forest Commodity Markets written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study first shows that a transactions costs band may exist in commodity spot and futures markets and spatially separated markets as a result of the arbitrage process. Then, by using a bivariate vector error correction model (VECM), this thesis shows that the null hypothesis of linearity can be rejected against the alternative of nonlinearity for both lumber spot and futures prices in U.S. and oriented strand board (OSB) prices across regions in North America. The nonlinearity is identified by a transition variable that governs switching between two regimes: one within the transactions cost band and one outside of the band. In the empirical analysis, a bivariate smooth transition vector error correction model (STVECM) is used to test market efficiency for lumber spot and futures prices and for the law of one price (LOP) as pertains to OSB prices across six regions in North America. Results support the market eficiency hypothesis and the LOP in the forest commdity markets. Furthermore, the empirical analysis suggests that when price differences surpass transactions costs by a large margin or are far away from the transactions band, a faster adjustment to the long run equilibrium is observed in part due to adjustment costs. When price differences are within the transactions band, they follow a random walk as no trade takes place. The in-sample analysis indicates that the STVECM model performs better than the linear VECM. Results from generalized impulse response functions (GIs) analysis show that system shocks may, in fact, change the time paths of prices permanently.
Book Synopsis A Dynamic Model of Hedging and Speculation in the Commodity Futures Markets by : Giulio Cifarelli
Download or read book A Dynamic Model of Hedging and Speculation in the Commodity Futures Markets written by Giulio Cifarelli and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the 1990-2010 time period, a dynamic interaction between spot and futures returns in five commodity markets (copper, cotton, oil, silver, and soybeans) is empirically validated. An error correction relationship for the cash returns and a non-linear parameterization of the corresponding futures returns are combined with a bivariate CCC-GARCH representation of the conditional variances. Hedgers and speculators are contemporaneously at work in the futures markets, the role of the latter being far from negligible. In order to capture the consequences of the growing turbulence of these markets, a two-state regime-switching model for futures returns is developed. In this way financial traders' time-varying risk appetites are allowed to interact with hedgers' demand in determining both future and spot prices.
Book Synopsis Winning in the Commodities Market by : George Angell
Download or read book Winning in the Commodities Market written by George Angell and published by Doubleday Books. This book was released on 1979 with total page 380 pages. Available in PDF, EPUB and Kindle. Book excerpt:
