We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role in the pricing of the convenience yield term structure. Our framework allows us to decompose the term structure of futures prices into expectations of future spot prices and risk premia components. We estimate that the risk premium in oil futures has been negative over the 1980s and 1990s, and turned positive in the mid-2000s, consistent with a declining role for supply shocks in the oil market over this period. In contrast, we estimate that the gold risk premium is mostly positive throughout the sample period.
{"title":"A Joint Affine Model of Commodity Futures and US Treasury Yields","authors":"Michael Chin, Zhuoshi Liu","doi":"10.2139/ssrn.2574771","DOIUrl":"https://doi.org/10.2139/ssrn.2574771","url":null,"abstract":"We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role in the pricing of the convenience yield term structure. Our framework allows us to decompose the term structure of futures prices into expectations of future spot prices and risk premia components. We estimate that the risk premium in oil futures has been negative over the 1980s and 1990s, and turned positive in the mid-2000s, consistent with a declining role for supply shocks in the oil market over this period. In contrast, we estimate that the gold risk premium is mostly positive throughout the sample period.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131703197","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}
In this paper, we evaluate the comparative performance of volatility models for oil price using daily returns of crude oil price. The innovations of this paper are in three folds: (i) we consider two prominent oil prices namely Brent and West Texas Intermediate (WTI); (ii) we analyse these prices across three subsamples namely periods before, during and after the global financial crisis; and (iii) we also analyse the comparative performance of both symmetric and asymmetric volatility models for these oil prices. We find inconsistent patterns in the performance of the volatility models over the subsamples. On the average, however, we find evidence of leverage effects in both oil prices and therefore, investors in the oil market react to news. Specifically, we find that bad news in the oil market increased volatility in crude oil price than good news. We also find high level of persistence in the volatility of WTI and Brent although the latter appears more persistent than the former while the period of global financial crisis recorded the highest level of persistence in both prices. Also, we find that during the global financial crisis, risk averse investors shifted assets from the oil market to other less risky assets.
{"title":"Modelling Oil Price Volatility Before, During and after the Global Financial Crisis","authors":"Afees A. Salisu","doi":"10.1111/opec.12037","DOIUrl":"https://doi.org/10.1111/opec.12037","url":null,"abstract":"In this paper, we evaluate the comparative performance of volatility models for oil price using daily returns of crude oil price. The innovations of this paper are in three folds: (i) we consider two prominent oil prices namely Brent and West Texas Intermediate (WTI); (ii) we analyse these prices across three subsamples namely periods before, during and after the global financial crisis; and (iii) we also analyse the comparative performance of both symmetric and asymmetric volatility models for these oil prices. We find inconsistent patterns in the performance of the volatility models over the subsamples. On the average, however, we find evidence of leverage effects in both oil prices and therefore, investors in the oil market react to news. Specifically, we find that bad news in the oil market increased volatility in crude oil price than good news. We also find high level of persistence in the volatility of WTI and Brent although the latter appears more persistent than the former while the period of global financial crisis recorded the highest level of persistence in both prices. Also, we find that during the global financial crisis, risk averse investors shifted assets from the oil market to other less risky assets.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"116 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132352095","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}
Laura Diaz Anadon, V. Bosetti, Gabriel Chan, G. Nemet, Elena Verdolini
Characterizing the future performance of energy technologies can improve the development of energy policies that have net benefits under a broad set of future conditions. In particular, decisions about public investments in research, development, and demonstration (RD&D) that promote technological change can benefit from (1) an explicit consideration of the uncertainty inherent in the innovation process and (2) a systematic evaluation of the tradeoffs in investment allocations across different technologies. To shed light on these questions, over the past five years several groups in the United States and Europe have conducted expert elicitations and modeled the resulting societal benefits. In this paper, we discuss the lessons learned from the design and implementation of these initiatives in four respects. First, we discuss lessons from the development of ten energy-technology expert elicitation protocols, highlighting the challenge of matching elicitation design with a particular modeling tool. Second, we report insights from the use of expert elicitations to optimize RD&D investment portfolios. These include a discussion of the rate of decreasing marginal returns to research, the optimal level of overall investments, and the sensitivity of results to policy scenarios and selected metrics for evaluation. Third, we discuss the effect of combining online elicitation tools with in-person group discussions on the usefulness of the results. Fourth, we summarize the results of a meta-analysis of elicited data across research groups to identify the association between expert characteristics and elicitation results.
{"title":"Energy Technology Expert Elicitations for Policy: Workshops, Modeling, and Meta-Analysis","authors":"Laura Diaz Anadon, V. Bosetti, Gabriel Chan, G. Nemet, Elena Verdolini","doi":"10.2139/ssrn.2538626","DOIUrl":"https://doi.org/10.2139/ssrn.2538626","url":null,"abstract":"Characterizing the future performance of energy technologies can improve the development of energy policies that have net benefits under a broad set of future conditions. In particular, decisions about public investments in research, development, and demonstration (RD&D) that promote technological change can benefit from (1) an explicit consideration of the uncertainty inherent in the innovation process and (2) a systematic evaluation of the tradeoffs in investment allocations across different technologies. To shed light on these questions, over the past five years several groups in the United States and Europe have conducted expert elicitations and modeled the resulting societal benefits. In this paper, we discuss the lessons learned from the design and implementation of these initiatives in four respects. First, we discuss lessons from the development of ten energy-technology expert elicitation protocols, highlighting the challenge of matching elicitation design with a particular modeling tool. Second, we report insights from the use of expert elicitations to optimize RD&D investment portfolios. These include a discussion of the rate of decreasing marginal returns to research, the optimal level of overall investments, and the sensitivity of results to policy scenarios and selected metrics for evaluation. Third, we discuss the effect of combining online elicitation tools with in-person group discussions on the usefulness of the results. Fourth, we summarize the results of a meta-analysis of elicited data across research groups to identify the association between expert characteristics and elicitation results.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"12 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130419907","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}
We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal forecasters' underperformance relative to the random walk benchmark. However, this result appears to be biased due to peso problems.
{"title":"Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price","authors":"S. Reitz, Jan‐Christoph Rülke, G. Stadtmann","doi":"10.2139/ssrn.2785362","DOIUrl":"https://doi.org/10.2139/ssrn.2785362","url":null,"abstract":"We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal forecasters' underperformance relative to the random walk benchmark. However, this result appears to be biased due to peso problems.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"18 2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131445904","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 examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual futures contracts.
{"title":"The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns","authors":"H. Till","doi":"10.2139/ssrn.2611506","DOIUrl":"https://doi.org/10.2139/ssrn.2611506","url":null,"abstract":"This paper examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual futures contracts.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134452346","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}
Because oil-producing countries do hold public debt and do default, we must understand how oil reserves and production affect risk and economic performance.
由于石油生产国确实持有公共债务并违约，我们必须了解石油储量和产量如何影响风险和经济表现。
{"title":"Sovereign Default and Economic Performance in Oil-Producing Economies","authors":"Ana Maria Santacreu, Paulina Restrepo-Echavarria","doi":"10.20955/es.2016.20","DOIUrl":"https://doi.org/10.20955/es.2016.20","url":null,"abstract":"Because oil-producing countries do hold public debt and do default, we must understand how oil reserves and production affect risk and economic performance.","PeriodicalId":233145,"journal":{"name":"Global Commodity Issues (Editor's Choice) eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130532215","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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