Economics of Commodity Markets.
Title:
Economics of Commodity Markets.
Author:
Chevallier, Julien.
ISBN:
9781119945390
Personal Author:
Edition:
1st ed.
Physical Description:
1 online resource (361 pages)
Series:
The Wiley Finance Series
Contents:
The Economics of Commodity Markets -- Contents -- Preface -- List of Figures -- List of Tables -- Acronyms -- PART I COMMODITY MARKET DYNAMICS -- 1 Individual Dynamics: From Trends to Risks -- 1.1 Backwardation, Contango and Commodity Risk Premium -- 1.2 Understanding Commodities' Momenta -- 1.2.1 Persistence of Shocks in Commodities -- 1.2.2 The Nature of Momentum in Commodity Markets -- 1.2.3 Time Series Momentum and the Number and Nature of Regimes -- 1.3 Volatility to Returns Spillovers and Tail Events in Commodities -- 1.3.1 Spillover Effects in Commodity Markets -- 1.3.2 Twenty Years of Jumps in Commodity Markets -- References -- 2 Cross-Asset Linkages -- 2.1 Common Risk Factors in Commodities -- 2.1.1 Literature Review -- 2.1.2 PCA and the Estimation of the Number of Common Components -- 2.1.3 Empirical Findings -- 2.2 Volatility Spillovers in Commodity Markets -- 2.2.1 The Volatility Spillover Index -- 2.2.2 Four Empirical Applications -- References -- PART II COMMODITIES AND THE BUSINESS CYCLE -- 3 The Reaction of Commodity Markets to Economic News -- 3.1 Measuring the Impact of Price Discovery on Asset Prices -- 3.2 Key Insights from the Academic Literature -- 3.3 Database of News -- 3.4 An Example: S&P 500, 10Y and USD -- 3.5 Commodity Indices -- 3.6 Dependence on the Business Cycle: NBER Recessions/Expansion Phases -- 3.7 Rolling Analysis -- 3.8 Preliminary Findings -- 3.9 Market-by-Market Analysis -- 3.9.1 Database for Commodity Prices -- 3.9.2 Precious Metals -- 3.9.3 Industrial Metals -- 3.9.4 Energy -- 3.9.5 Agricultural Commodities -- 3.10 Concluding Remarks -- References -- 4 Economic Regimes and Commodity Markets as an Asset Class -- 4.1 Index Performances, the Fed and the NBER Crises -- 4.2 Measuring the Business Cycle -- 4.3 To Which Business Cycle are the Commodity Markets Related?.
4.4 Commodity Performances Depending on the Nature of Each Economic Regime -- 4.5 Performance Analysis -- 4.6 Concluding Remarks -- References -- PART III COMMODITIES AND FUNDAMENTAL VALUE -- 5 Cross-Commodity Linkages -- 5.1 A Primer on Granger Causality Testing and Cointegration -- 5.1.1 Granger Causality Testing -- 5.1.2 Cointegration without Structural Breaks -- 5.1.3 Cointegration with Structural Breaks -- 5.2 Dataset and Unit Root Test Results -- 5.3 Cointegration in Agricultural Markets -- 5.3.1 Literature Review -- 5.3.2 Results of Granger Causality Tests for Agricultural Products -- 5.3.3 Cointegration Analyses for Agricultural Products -- 5.3.4 Grains and Soft Commodities -- 5.3.5 Agriculture-Energy Linkage -- 5.4 Cointegration in Industrial Metals Markets -- 5.4.1 Literature Review -- 5.4.2 Results of Granger Causality Tests for Industrial Metals -- 5.4.3 Cointegration Analyses for Industrial Metals -- 5.5 Cointegration in Precious Metals Markets -- 5.5.1 Literature Review -- 5.5.2 Results of Granger Causality Tests for Precious Metals -- 5.5.3 Cointegration Analyses for Precious Metals -- 5.6 Cointegration in Energy Markets -- 5.6.1 Literature Review -- 5.6.2 Results of Granger Causality Tests for Energy Markets -- 5.6.3 Cointegration Analyses for Energy Markets -- 5.6.4 Petroleum Products -- 5.6.5 Oil and Gas Prices -- 5.7 Concluding Remarks -- References -- 6 Cointegration with Traditional Asset Markets -- 6.1 Dataset and Unit Root Test Results -- 6.2 Cointegration Between the GSCI Sub-Indices, S&P 500 and US 10-Year Rate -- 6.2.1 Literature Review -- 6.2.2 Results of Granger Causality Tests Between the GSCI Sub-Indices, S&P 500 and US 10-Year Rate -- 6.2.3 Cointegration Analyses for the GSCI Sub-Indices, S&P 500 and US 10-Year Rate -- 6.3 Cointegration Between the GSCI Sub-Indices and Exchange Rates -- 6.3.1 Literature Review.
6.3.2 Results of Granger Causality Tests Between the GSCI Sub-Indices and Exchange Rates -- 6.3.3 Cointegration Analyses for the GSCI Sub-Indices and Exchange Rates -- 6.4 Concluding Remarks -- References -- 7 Cointegration with Industrial Production and Inflation -- 7.1 Dataset and Unit Root Test Results -- 7.2 Cointegration Between the GSCI Sub-Indices and Industrial Production -- 7.2.1 Literature Review -- 7.2.2 Results of Granger Causality Tests Between the GSCI Sub-Indices and Industrial Production -- 7.2.3 Cointegration Analyses for Industrial Production and Commodity Prices -- 7.3 Cointegration Between the GSCI Sub-Indices, Inflation and Monetary Indices -- 7.3.1 Literature Review -- 7.3.2 Results of Granger Causality Tests Between the GSCI Sub-Indices, Inflation and Monetary Indices -- 7.3.3 Cointegration Analyses for Commodities, Inflation and Monetary Indices -- 7.4 Concluding Remarks -- References -- Index.
Abstract:
As commodity markets have continued their expansion an extensive and complex financial industry has developed to service them. This industry includes hundreds of participating firms, including asset managers, brokers, consultants, verification agencies and a myriad of other institutions. Universities and other training institutions have responded to this rapid expansion of commodity markets as well as their substantial future growth potential by launching specialized courses on the subject. The Economics of Commodity Markets attempts to bridge the gap between academics and working professionals by way of a textbook that is both theoretically informative and practical. Based in part on the authors' teaching experience of commodity finance at the University Paris Dauphine, the book covers all important commodity markets topics and includes coverage of recent topics such as financial applications and intuitive economic reasoning. The book is composed of three parts that cover: commodity market dynamics, commodities and the business cycle, and commodities and fundamental value. The key original approach to the subject matter lies in a shift away from the descriptive to the econometric analysis of commodity markets. Information on market trends of commodities is presented in the first part, with a strong emphasis on the quantitative treatment of that information in the remaining two parts of the book. Readers are provided with a clear and succinct exposition of up-to-date financial economic and econometric methods as these apply to commodity markets. In addition a number of useful empirical applications are introduced and discussed. This book is a self-contained offering, discussing all key methods and insights without descending into superfluous technicalities. All explanations are structured in an accessible manner, permitting any reader with
a basic understanding of mathematics and finance to work their way through all parts of the book without having to resort to external sources.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
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