By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.
{"title":"Volatility Spillovers Across Petroleum Markets","authors":"Jozef Baruník, E. Kočenda, Lukáš Vácha","doi":"10.2139/ssrn.2600204","DOIUrl":"https://doi.org/10.2139/ssrn.2600204","url":null,"abstract":"By using our newly defined measure, we detect and quantify asymmetries in the volatility spillovers of petroleum commodities: crude oil, gasoline, and heating oil. The increase in volatility spillovers after 2001 correlates with the progressive financialization of the commodities. Further, increasing spillovers from volatility among petroleum commodities substantially change their pattern after 2008 (the financial crisis and advent of tight oil production). After 2008, asymmetries in spillovers markedly declined in terms of total as well as directional spillovers. In terms of asymmetries we also show that overall volatility spillovers due to negative (price) returns materialize to a greater degree than volatility spillovers due to positive returns. An analysis of directional spillovers reveals that no petroleum commodity dominates other commodities in terms of general spillover transmission.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-04-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87582552","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Transport networks have evolved from multimodal networks towards integrated networks allowing for intermodal transport – the carriage of a single load unit by consecutive modes in a transport chain. Synchromodality (or synchronized intermodality) – as the next stage in port/hinterland network development – can be briefly summarized as the vision of a network of well-synchronized and interconnected transport modes, which together cater for the aggregate transport demand and can dynamically adapt to the individual and instantaneous needs of network users. The objective of the chapter is to introduce the idea of Synchromodality. We discuss the current position and evolution of intermodal hinterland transport systems. Next, we describe the main elements of a synchronized intermodal transport system and the innovations that are necessary to arrive at synchromodal transport systems. We further describe the barriers for future development including technological, economical and institutional aspects.
{"title":"Intermodality and Synchromodality","authors":"L. Tavasszy, B. Behdani, R. Konings","doi":"10.2139/ssrn.2592888","DOIUrl":"https://doi.org/10.2139/ssrn.2592888","url":null,"abstract":"Transport networks have evolved from multimodal networks towards integrated networks allowing for intermodal transport – the carriage of a single load unit by consecutive modes in a transport chain. Synchromodality (or synchronized intermodality) – as the next stage in port/hinterland network development – can be briefly summarized as the vision of a network of well-synchronized and interconnected transport modes, which together cater for the aggregate transport demand and can dynamically adapt to the individual and instantaneous needs of network users. The objective of the chapter is to introduce the idea of Synchromodality. We discuss the current position and evolution of intermodal hinterland transport systems. Next, we describe the main elements of a synchronized intermodal transport system and the innovations that are necessary to arrive at synchromodal transport systems. We further describe the barriers for future development including technological, economical and institutional aspects.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83679750","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities. Using an asset pricing framework we investigate the benefits to investors from holding commodities, both individually and in portfolios. Generally, commodity and stock markets are integrated, although there are time-varying benefits to investors that are subject to sample period selection and investment horizon. We show that Asian investors receive positive risk adjusted returns in gold and rice markets but not in any of the other commodity markets investigated. The risk adjusted returns are time-varying: during the Asian Financial Crisis risk adjusted returns were negative -- a penalty for investing in commodities -- whereas during the Global Financial Crisis the reverse was true and investors earned positive excess returns. The time-varying nature of the benefits that arise from diversification in commodities and their breakdown during periods of crisis, highlight the problems that investors may face when using commodities for long term investment in addition to traditional holdings of stocks and bonds.
{"title":"Should Investors Buy Commodities?","authors":"J. Batten, P. Szilagyi, N. Wagner","doi":"10.2139/ssrn.2570745","DOIUrl":"https://doi.org/10.2139/ssrn.2570745","url":null,"abstract":"One reason that investors hold commodities is to receive diversification benefits. However, while an extensive set of existing studies demonstrate diversification benefits when investors hold international stocks or bonds, they are generally silent on the implications of holding commodities. Using an asset pricing framework we investigate the benefits to investors from holding commodities, both individually and in portfolios. Generally, commodity and stock markets are integrated, although there are time-varying benefits to investors that are subject to sample period selection and investment horizon. We show that Asian investors receive positive risk adjusted returns in gold and rice markets but not in any of the other commodity markets investigated. The risk adjusted returns are time-varying: during the Asian Financial Crisis risk adjusted returns were negative -- a penalty for investing in commodities -- whereas during the Global Financial Crisis the reverse was true and investors earned positive excess returns. The time-varying nature of the benefits that arise from diversification in commodities and their breakdown during periods of crisis, highlight the problems that investors may face when using commodities for long term investment in addition to traditional holdings of stocks and bonds.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87340807","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Hoarding by large speculators is often blamed for contributing to commodity market panics and bubbles. Using supermarket scanner data on US household purchases during the 2008 Rice Bubble, we show that hoarding is in fact more systemic, affecting even households who have no resale motive. Export bans led to a spike in prices worldwide in the first half of 2008, which spilled over into US markets. Anticipating shortages, US households with previous purchases of rice, especially those of Asian ethnicity, nearly doubled their buying around the peak of the bubble. We document transmission mechanisms through over-extrapolation from high prices and contagion, as many households bought rice for the first and last time during the bubble.
{"title":"Hoard Behavior and Commodity Bubbles","authors":"Harrison G. Hong, Áureo de Paula, Vishal Singh","doi":"10.2139/SSRN.2528080","DOIUrl":"https://doi.org/10.2139/SSRN.2528080","url":null,"abstract":"Hoarding by large speculators is often blamed for contributing to commodity market panics and bubbles. Using supermarket scanner data on US household purchases during the 2008 Rice Bubble, we show that hoarding is in fact more systemic, affecting even households who have no resale motive. Export bans led to a spike in prices worldwide in the first half of 2008, which spilled over into US markets. Anticipating shortages, US households with previous purchases of rice, especially those of Asian ethnicity, nearly doubled their buying around the peak of the bubble. We document transmission mechanisms through over-extrapolation from high prices and contagion, as many households bought rice for the first and last time during the bubble.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"2012 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82611790","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper considers the problem of point prediction based on a predictive distribution, representing the uncertainty about the outcome. The issue explored is the reporting of a single characteristic, typically the mean, the median or the mode, in the context of a skewed distribution and asymmetric loss. Special attention is given to the two-piece normal distribution and asymmetric piecewise linear and quadratic loss. The practical context for the issue is the yearly reporting of remaining petroleum resources given by the authorities to stakeholders that may ask for just a single number.
{"title":"Best Estimate Reporting with Asymmetric Loss","authors":"J. Lillestøl, R. Sinding-Larsen","doi":"10.2139/ssrn.2557941","DOIUrl":"https://doi.org/10.2139/ssrn.2557941","url":null,"abstract":"This paper considers the problem of point prediction based on a predictive distribution, representing the uncertainty about the outcome. The issue explored is the reporting of a single characteristic, typically the mean, the median or the mode, in the context of a skewed distribution and asymmetric loss. Special attention is given to the two-piece normal distribution and asymmetric piecewise linear and quadratic loss. The practical context for the issue is the yearly reporting of remaining petroleum resources given by the authorities to stakeholders that may ask for just a single number.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74466881","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting approaches for the retail price of gasoline and compare their accuracy with the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of gasoline price forecasts are feasible in real time at horizons up to two years, as are substantial increases in directional accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most successful forecasting models. Pooled forecasts have lower MSPE than the EIA gasoline price forecasts and the gasoline price expectations in the Michigan Survey of Consumers. We also show that as much as 39% of the decline in gas prices between June and December 2014 was predictable.
{"title":"Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump","authors":"C. Baumeister, L. Kilian, Thomas K Lee","doi":"10.2139/ssrn.2550731","DOIUrl":"https://doi.org/10.2139/ssrn.2550731","url":null,"abstract":"Although there is much interest in the future retail price of gasoline among consumers, industry analysts, and policymakers, it is widely believed that changes in the price of gasoline are essentially unforecastable given publicly available information. We explore a range of new forecasting approaches for the retail price of gasoline and compare their accuracy with the no-change forecast. Our key finding is that substantial reductions in the mean-squared prediction error (MSPE) of gasoline price forecasts are feasible in real time at horizons up to two years, as are substantial increases in directional accuracy. The most accurate individual model is a VAR(1) model for real retail gasoline and Brent crude oil prices. Even greater reductions in MSPEs are possible by constructing a pooled forecast that assigns equal weight to five of the most successful forecasting models. Pooled forecasts have lower MSPE than the EIA gasoline price forecasts and the gasoline price expectations in the Michigan Survey of Consumers. We also show that as much as 39% of the decline in gas prices between June and December 2014 was predictable.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"17 1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72857411","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Purpose - This paper brings lean principles outside the walls of the factory and applies them to the overall supply chain with respect to transportation in particular. We present a solution that increases trailer density by transporting components hanging on rails instead of piling them up. Design/method/approach - A calculation model, validated by a case study, illustrates the different cost drivers across the supply chain and reveals the savings and investment expenditures of the new concept. Findings - The results from a case study show that smoothening the flow of products between the different supply chain partners and increasing the trailer density by 25% results in a reduction of 20% in transportation costs. Based on three critical product characteristics, multiple products are researched in a 2³ design to gain insights in the market analysis and the practical use. Practical implications - Looking for innovative ways to transport goods can lead to transportation cost savings, new business models and a smoother flow of products. Originality/value - The model contributes to the literature by increasing the transparency about the drivers that influence the costs of the different players in the supply chain. Moreover, the paper shows the financial impact of innovations in transporting and handling components.
{"title":"Lean Beyond Company Borders: Costs or Benefits?","authors":"C. Van Riet, Dennis De Clerck, E. Demeulemeester","doi":"10.2139/ssrn.2553850","DOIUrl":"https://doi.org/10.2139/ssrn.2553850","url":null,"abstract":"Purpose - This paper brings lean principles outside the walls of the factory and applies them to the overall supply chain with respect to transportation in particular. We present a solution that increases trailer density by transporting components hanging on rails instead of piling them up. Design/method/approach - A calculation model, validated by a case study, illustrates the different cost drivers across the supply chain and reveals the savings and investment expenditures of the new concept. Findings - The results from a case study show that smoothening the flow of products between the different supply chain partners and increasing the trailer density by 25% results in a reduction of 20% in transportation costs. Based on three critical product characteristics, multiple products are researched in a 2³ design to gain insights in the market analysis and the practical use. Practical implications - Looking for innovative ways to transport goods can lead to transportation cost savings, new business models and a smoother flow of products. Originality/value - The model contributes to the literature by increasing the transparency about the drivers that influence the costs of the different players in the supply chain. Moreover, the paper shows the financial impact of innovations in transporting and handling components.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"12 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2015-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87188108","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Can belief shocks make trading excessive? We present a dynamic inventory management model in which belief shocks gradually propagate across traders, leading to the inflated trading activity which reduces traders' welfare. Trading can be socially beneficial because smoothing heterogeneous asset positions saves inventory costs. Without belief shocks, traders focus on the socially beneficial trading and the dispersion of the asset positions decreases monotonically. We show that one-shot belief shocks induce a speculative trading, which aggregates information but slows down the convergence of the asset positions. When traders' beliefs change quickly, the dispersion of the asset positions goes up, creating a cyclical pattern in volume. We also show that the high frequency trading amplifies the impact of belief shocks by making the speculation less costly, and therefore steering traders away from the socially beneficial trading motive.
{"title":"Excessive Dynamic Trading: Propagation of Belief Shocks in Small Markets","authors":"K. Kawakami","doi":"10.2139/ssrn.2558356","DOIUrl":"https://doi.org/10.2139/ssrn.2558356","url":null,"abstract":"Can belief shocks make trading excessive? We present a dynamic inventory management model in which belief shocks gradually propagate across traders, leading to the inflated trading activity which reduces traders' welfare. Trading can be socially beneficial because smoothing heterogeneous asset positions saves inventory costs. Without belief shocks, traders focus on the socially beneficial trading and the dispersion of the asset positions decreases monotonically. We show that one-shot belief shocks induce a speculative trading, which aggregates information but slows down the convergence of the asset positions. When traders' beliefs change quickly, the dispersion of the asset positions goes up, creating a cyclical pattern in volume. We also show that the high frequency trading amplifies the impact of belief shocks by making the speculation less costly, and therefore steering traders away from the socially beneficial trading motive.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"15 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84722089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Spanish Abstract: En este articulo se analiza la influencia de las barreras logisticas a la exportacion en las pequenas y medianas empresas en Colombia. Por medio de una muestra de 401 pymes colombianas, se estima un modelo de redes neuronales que permite identificar la falta de los canales de distribucion en el exterior, la dificultad en el manejo de documentos y procedimientos foraneos, y la diferencia de estandares y/o especificaciones de productos en el extranjero, como principales barreras logisticas. Ademas se encuentra que las pymes presentan alta dependencia en el entorno logistico nacional y por esto, son mayores los obstaculos que enfrentan en el mercado internacional que deben superarse para lograr el exito en sus exportaciones.English Abstract: The influence of logistic barriers on exports in small and medium Colombian enterprises is analyzed in this paper. Using a sample of 401 Colombian SMEs, a neural network model that identifies the lack of distribution channels abroad, the difficulty in managing documents and procedures abroad, and the difference in standards and/or product specifications abroad, as main logistical barriers are estimated. Furthermore, it is found that SMEs have a high dependence on the national logistics environment, turning main obstacles to be faced in the international market. Such obstacles must be overcome to achieve success in exports.
{"title":"Barreras logísticas a la exportación de las pymes en Colombia (Logistic Barriers to Exports by SMEs in Colombia)","authors":"D. Escandón, Andrea Hurtado Ayala, Jairo Salas","doi":"10.22431/25005227.82","DOIUrl":"https://doi.org/10.22431/25005227.82","url":null,"abstract":"Spanish Abstract: En este articulo se analiza la influencia de las barreras logisticas a la exportacion en las pequenas y medianas empresas en Colombia. Por medio de una muestra de 401 pymes colombianas, se estima un modelo de redes neuronales que permite identificar la falta de los canales de distribucion en el exterior, la dificultad en el manejo de documentos y procedimientos foraneos, y la diferencia de estandares y/o especificaciones de productos en el extranjero, como principales barreras logisticas. Ademas se encuentra que las pymes presentan alta dependencia en el entorno logistico nacional y por esto, son mayores los obstaculos que enfrentan en el mercado internacional que deben superarse para lograr el exito en sus exportaciones.English Abstract: The influence of logistic barriers on exports in small and medium Colombian enterprises is analyzed in this paper. Using a sample of 401 Colombian SMEs, a neural network model that identifies the lack of distribution channels abroad, the difficulty in managing documents and procedures abroad, and the difference in standards and/or product specifications abroad, as main logistical barriers are estimated. Furthermore, it is found that SMEs have a high dependence on the national logistics environment, turning main obstacles to be faced in the international market. Such obstacles must be overcome to achieve success in exports.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88166036","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper reviews several key implications of international investment and global supply chain fragmentation for the multilateral trading system. Based on existing economic research, I identify a two-fold challenge for policy makers: first, to leverage the trade-liberalizing potential of global fragmentation at the multilateral level; and second, to counter the potential for opportunistic manipulation of behind-the-border policy instruments.
{"title":"A Shifting Mandate: International Ownership, Global Fragmentation and a Case for Deeper Integration Under the WTO","authors":"Emily Blanchard","doi":"10.2139/ssrn.2539484","DOIUrl":"https://doi.org/10.2139/ssrn.2539484","url":null,"abstract":"This paper reviews several key implications of international investment and global supply chain fragmentation for the multilateral trading system. Based on existing economic research, I identify a two-fold challenge for policy makers: first, to leverage the trade-liberalizing potential of global fragmentation at the multilateral level; and second, to counter the potential for opportunistic manipulation of behind-the-border policy instruments.","PeriodicalId":12584,"journal":{"name":"Global Commodity Issues eJournal","volume":"5 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2014-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90819307","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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