Add to ORKGTrading by commodity index traders (CITs) has become an important aspect of financial markets over the past 10 years. We develop an equilibrium model of trader behavior that relates uninformed CIT trading to futures prices. The model predicts that CIT trading reduces the cost of hedging. We test the model using a unique non-public dataset which precisely identifies trader positions. We find evidence, consistent with the model, that index traders have become an important supply of price risk insurance.Commodity futures - Mathematical models ; Hedging (Finance) - Mathematical models
Futures markets exist to meet the needs of commercial trade having forward commodity dealings. The d...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
The present document aims at synthetizing some of the research that my co-authors and I have been c...
A recent debate about the financialization of commodity markets has stimulated the development of ne...
This study provides a systematic empirical investigation of lead-lag relationships among trading pos...
The economic function of commodity futures markets is generally acknowledged to be that of affording...
In this paper, we investigate the relation between hedging activity by commercial/merchant/producers...
A recent debate about the financialisation of commodity markets has stimulated the development of ne...
In 2003, trading of commodity futures shifted from single commodity, regional exchanges to national ...
We propose a micro-founded equilibrium model to examine the interactions between the physical and th...
This is a comprehensive study of the growth and impact of agricultural futures market traders. The ...
The aim of this study is to investigate the hedging effectiveness of commodity and stock index futur...
We consider a model in which commodity producers are risk-averse to future cash ow variability and h...
textabstractWe find that commodity risk is priced in the cross-section of US stock returns. Followin...
We propose a simple equilibrium model, where the physical and the derivative markets of the commodi...
Futures markets exist to meet the needs of commercial trade having forward commodity dealings. The d...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
The present document aims at synthetizing some of the research that my co-authors and I have been c...
A recent debate about the financialization of commodity markets has stimulated the development of ne...
This study provides a systematic empirical investigation of lead-lag relationships among trading pos...
The economic function of commodity futures markets is generally acknowledged to be that of affording...
In this paper, we investigate the relation between hedging activity by commercial/merchant/producers...
A recent debate about the financialisation of commodity markets has stimulated the development of ne...
In 2003, trading of commodity futures shifted from single commodity, regional exchanges to national ...
We propose a micro-founded equilibrium model to examine the interactions between the physical and th...
This is a comprehensive study of the growth and impact of agricultural futures market traders. The ...
The aim of this study is to investigate the hedging effectiveness of commodity and stock index futur...
We consider a model in which commodity producers are risk-averse to future cash ow variability and h...
textabstractWe find that commodity risk is priced in the cross-section of US stock returns. Followin...
We propose a simple equilibrium model, where the physical and the derivative markets of the commodi...
Futures markets exist to meet the needs of commercial trade having forward commodity dealings. The d...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
The present document aims at synthetizing some of the research that my co-authors and I have been c...