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E-raamat: Economics of Commodity Markets [Wiley Online]

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  • Formaat: 368 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 19-Jul-2013
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1118710096
  • ISBN-13: 9781118710098
Teised raamatud teemal:
  • Wiley Online
  • Hind: 108,90 €*
  • * hind, mis tagab piiramatu üheaegsete kasutajate arvuga ligipääsu piiramatuks ajaks
Economics of Commodity MarketsSuurem pilt
  • Formaat: 368 pages
  • Sari: The Wiley Finance Series
  • Ilmumisaeg: 19-Jul-2013
  • Kirjastus: John Wiley & Sons Inc
  • ISBN-10: 1118710096
  • ISBN-13: 9781118710098
Teised raamatud teemal:
Wiley Online e-raamatudRohkem infot Wiley Online kohta
Raamatu kodulehekülg: https://onlinelibrary.wiley.com/doi/book/10.1002/9781118710098
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.
Preface xi
List of Figures
xiii
List of Tables
xvii
Acronyms xxv
PART I COMMODITY MARKET DYNAMICS
1(114)
1 Individual Dynamics: From Trends to Risks
3(66)
1.1 Backwardation, Contango and Commodity Risk Premium
9(4)
1.2 Understanding Commodities' Momenta
13(30)
1.2.1 Persistence of Shocks in Commodities
18(2)
1.2.2 The Nature of Momentum in Commodity Markets
20(12)
1.2.3 Time Series Momentum and the Number and Nature of Regimes
32(11)
1.3 Volatility to Returns Spillovers and Tail Events in Commodities
43(26)
1.3.1 Spillover Effects in Commodity Markets
43(8)
1.3.2 Twenty Years of Jumps in Commodity Markets
51(10)
References
61(8)
2 Cross-Asset Linkages
69(46)
2.1 Common Risk Factors in Commodities
77(13)
2.1.1 Literature Review
78(2)
2.1.2 PCA and the Estimation of the Number of Common Components
80(2)
2.1.3 Empirical Findings
82(8)
2.2 Volatility Spillovers in Commodity Markets
90(25)
2.2.1 The Volatility Spillover Index
96(2)
2.2.2 Four Empirical Applications
98(12)
References
110(5)
PART II COMMODITIES AND THE BUSINESS CYCLE
115(54)
3 The Reaction of Commodity Markets to Economic News
117(28)
3.1 Measuring the Impact of Price Discovery on Asset Prices
117(1)
3.2 Key Insights from the Academic Literature
118(1)
3.3 Database of News
119(2)
3.4 An Example: S&P 500, 10Y and USD
121(1)
3.5 Commodity Indices
122(1)
3.6 Dependence on the Business Cycle: NBER Recessions/Expansion Phases
123(2)
3.7 Rolling Analysis
125(3)
3.8 Preliminary Findings
128(1)
3.9 Market-by-Market Analysis
129(14)
3.9.1 Database for Commodity Prices
129(1)
3.9.2 Precious Metals
130(2)
3.9.3 Industrial Metals
132(3)
3.9.4 Energy
135(3)
3.9.5 Agricultural Commodities
138(5)
3.10 Concluding Remarks
143(2)
References
143(2)
4 Economic Regimes and Commodity Markets as an Asset Class
145(24)
4.1 Index Performances, the Fed and the NBER Crises
145(2)
4.2 Measuring the Business Cycle
147(1)
4.3 To Which Business Cycle are the Commodity Markets Related?
148(7)
4.4 Commodity Performances Depending on the Nature of Each Economic Regime
155(5)
4.5 Performance Analysis
160(7)
4.6 Concluding Remarks
167(2)
References
167(2)
PART III COMMODITIES AND FUNDAMENTAL VALUE
169(154)
5 Cross-Commodity Linkages
177(64)
5.1 A Primer on Granger Causality Testing and Cointegration
177(4)
5.1.1 Granger Causality Testing
177(1)
5.1.2 Cointegration without Structural Breaks
177(2)
5.1.3 Cointegration with Structural Breaks
179(2)
5.2 Dataset and Unit Root Test Results
181(2)
5.3 Cointegration in Agricultural Markets
183(19)
5.3.1 Literature Review
184(4)
5.3.2 Results of Granger Causality Tests for Agricultural Products
188(1)
5.3.3 Cointegration Analyses for Agricultural Products
189(1)
5.3.4 Grains and Soft Commodities
190(6)
5.3.5 Agriculture--Energy Linkage
196(6)
5.4 Cointegration in Industrial Metals Markets
202(6)
5.4.1 Literature Review
203(1)
5.4.2 Results of Granger Causality Tests for Industrial Metals
204(1)
5.4.3 Cointegration Analyses for Industrial Metals
204(4)
5.5 Cointegration in Precious Metals Markets
208(11)
5.5.1 Literature Review
209(2)
5.5.2 Results of Granger Causality Tests for Precious Metals
211(1)
5.5.3 Cointegration Analyses for Precious Metals
212(7)
5.6 Cointegration in Energy Markets
219(16)
5.6.1 Literature Review
220(2)
5.6.2 Results of Granger Causality Tests for Energy Markets
222(1)
5.6.3 Cointegration Analyses for Energy Markets
223(2)
5.6.4 Petroleum Products
225(6)
5.6.5 Oil and Gas Prices
231(4)
5.7 Concluding Remarks
235(6)
References
236(5)
6 Cointegration with Traditional Asset Markets
241(28)
6.1 Dataset and Unit Root Test Results
241(1)
6.2 Cointegration Between the GSCI Sub-Indices, S&P 500 and US 10-Year Rate
241(13)
6.2.1 Literature Review
244(1)
6.2.2 Results of Granger Causality Tests Between the GSCI Sub-Indices, S&P 500 and US 10-Year Rate
245(1)
6.2.3 Cointegration Analyses for the GSCI Sub-Indices, S&P 500 and US 10-Year Rate
246(8)
6.3 Cointegration Between the GSCI Sub-Indices and Exchange Rates
254(12)
6.3.1 Literature Review
254(2)
6.3.2 Results of Granger Causality Tests Between the GSCI Sub-Indices and Exchange Rates
256(1)
6.3.3 Cointegration Analyses for the GSCI Sub-Indices and Exchange Rates
257(9)
6.4 Concluding Remarks
266(3)
References
266(3)
7 Cointegration with Industrial Production and Inflation
269(54)
7.1 Dataset and Unit Root Test Results
269(1)
7.2 Cointegration Between the GSCI Sub-Indices and Industrial Production
269(31)
7.2.1 Literature Review
274(1)
7.2.2 Results of Granger Causality Tests Between the GSCI Sub-Indices and Industrial Production
275(1)
7.2.3 Cointegration Analyses for Industrial Production and Commodity Prices
276(24)
7.3 Cointegration Between the GSCI Sub-Indices, Inflation and Monetary Indices
300(20)
7.3.1 Literature Review
300(2)
7.3.2 Results of Granger Causality Tests Between the GSCI Sub-Indices, Inflation and Monetary Indices
302(4)
7.3.3 Cointegration Analyses for Commodities, Inflation and Monetary Indices
306(14)
7.4 Concluding Remarks
320(3)
References
321(2)
Index 323
About the authors

DR. JULIEN CHEVALLIER is a Tenured Associate Professor of Economics (Professeur des Universités). He undertakes research and lectures on time-series econometrics applied to financial, commodity and energy markets. Dr. Chevallier has research connections with various universities, including the University Paris Dauphine. He received his Ph.D. in Economics from the University Paris West in 2008, and his M.Sc. in Economics from the London School of Economics in 2005. Dr. Chevallier has previously held visiting research positions at the Grantham Institute for Climate Change of Imperial College London, at the Centre for Economic Performance of the London School of Economics, at Georgetown University, and at the World Bank. Dr. Chevallier is the author of the book Econometric Analysis of Carbon Markets (Springer). He has published articles in leading refereed journals, including Applied Economics, Energy Economics, Resource and Energy Economics and The Energy Journal. Furthermore, Dr. Chevallier currently serves as Associate Editor at Energy Economics, at the International Journal of Global Energy Issues, and at the Journal of Stock & Forex Trading.

DR. FLORIAN IELPO is Investment Manager & Associate Researcher at CES Université Paris 1 Panthéon Sorbonne. He acts as an Investment Manager in the asset management branch of a bank in Switzerland. In the meantime, he is an Associate Researcher at the Centre dEconomie de la Sorbonne in Paris, France. His expertise is built on an on-going combination between professional skills gained from building decision tools and strategic decision making, and active academic research focusing on the application of econometric tools relating economics and finance. Florian completed his Ph.D. in Financial Econometrics from the Sorbonne University in Paris, France while working as an Economist in the banking industry. He then occupied various positions, moving from an Econometrician position to becoming an Active Investment Manager. He teaches selected aspects of applied finance at the Sorbonne and Dauphine Universities and at the Ecole Nationale des Techniques Avancées (ENSTA) in Paris, France. Florians peer-reviewed scientific publications can be found in various journals such as Quantitative Finance, the Journal of Forecasting, Finance Research Letters or the Journal of Investing.
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