Monetary policy and price dynamics in a commodity futures market

Tai, Meng-Yi; Chao, Chi‐Chur; Hu, Shih-Wen; Lai, Ching‐chong; Wang, Vey

doi:10.1016/j.iref.2013.06.007

Cited by 6 publications

(4 citation statements)

References 16 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Our work also enriches our understanding of the genesis of commodity futures returns by providing new insights about the impacts of financial intermediaries. Unlike the existing literature, which generally places more weight on macroeconomic or financial indicators (Beckmann, Belke, & Czudaj, 2014; Frankel, 2006; Gargano & Timmermann, 2014; Gospodinov & Ng, 2013; Hamilton & Wu, 2015; Issler, Rodrigues, & Burjack, 2014; Khan, Khokher, & Simin, 2016; Tai, Chao, Hu, Lai, & Wang, 2014) or commodity‐related factors (Gorton, Hayashi, & Rouwenhorst, 2012; Hong & Yogo, 2012; Szymanowska, De Roon, Nijman, & Van den Goorbergh, 2014), we provide a general assessment of the sensitivity of commodity markets to shocks to intermediary capital ratios during a period in which commodities have become increasingly financialized. Our results shed new light on the pivotal importance of financial intermediaries.…”

Section: Introductionmentioning

confidence: 98%

Intermediary asset pricing in commodity futures returns

Yin

Nie

Han

2020

Journal of Futures Markets

View full text Add to dashboard Cite

This paper assesses the extent to which intermediary capital (IC) risk contributes toward explaining commodity futures returns. We find that the IC effect is substantially positive and continues to grow as the financialization of commodities deepens. Positive and negative IC risks play asymmetric roles, with the effect of negative IC strengthening in recent subperiods. We further confirm the heterogeneous roles of IC across individual commodities by crosssection analyses. Overall, the effect of the positive IC risk factor varies significantly. Portfolios with low basis, low open interest, low momentum, and low liquidity earn significantly higher returns than counterparty portfolios.

show abstract

Section: Introductionmentioning

confidence: 98%

Intermediary asset pricing in commodity futures returns

Yin

Nie

Han

2020

Journal of Futures Markets

View full text Add to dashboard Cite

show abstract

“…Nevertheless, the intensity of such results is found to be medium during the recent crisis. Monetary policy communication is found to dampen commodity spot prices according to Tai, Chao, Hu, Lai, and Wang (). Moreover, Hove, Mama, and Tchana () argue that volatility in emerging economies' market commodities is effectively confronted, if the central bank targets on CPI inflation.…”

Section: Introductionmentioning

confidence: 99%

The informational content of unconventional monetary policy on precious metal markets

Papadamou

Sogiakas

2017

Journal of Forecasting

View full text Add to dashboard Cite

This paper investigates the informational content of unconventional monetary policies and its effect on commodity markets, adopting a nonlinear approach for modeling volatility. The main question addressed is how the Bank of England, Bank of Japan, and European Central Bank's (ECB's) announcements concerning monetary easing affect two major commodities: gold and silver. Our empirical evidence based on daily and high-frequency data suggests that relevant information causes ambiguous valuation adjustments as well as stabilization or destabilization effects. Specifically, there is strong evidence that the Japanese Central Bank strengthens the precious metal markets by increasing their returns and by causing stabilization effects, in contrast to the ECB, which has opposite results, mainly due to the heterogeneous expectations of investors within these markets. These asymmetries across central banks' effects on gold and silver risk-return profile imply that the ECB unconventional monetary easing informational content opposes its stated mission, adding uncertainty in precious metals markets.

show abstract

“…Our empirical findings also advance our understanding of the determinants of commodity prices. The conventional analysis of commodity markets, mimics the empirical strategy applied to key macroeconomic variables, including inflation (Browne & Cronin, 2010;Erb & Harvey, 2006;Gorton & Rouwenhorst, 2006;Gospodinov & Ng, 2013), interest rates (Szymanowska, De Roon, Nijman, & Van Den Goorbergh, 2014;Tai, Chao, Hu, Lai, & Wang, 2014), economic activities affecting supply and demand (Beckmann, Belke, & Czudaj, 2014;Issler, Rodrigues, & Burjack, 2014;Khan, Khokher, & Simin, 2017;Kilian & Hicks, 2013), and exchange rate dynamics (Chen, Rogoff, & Rossi, 2010). Besides, ever since the financialization of commodity markets (Hamilton & Wu, 2015;Tang & Xiong, 2012), financial market returns have also been important in explaining commodity price movements.…”

mentioning

confidence: 99%

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Liu

Han

Yin

2018

Journal of Futures Markets

View full text Add to dashboard Cite

This study investigates the impact of news implied volatility (NVIX) and its two sub‐components (news about stock markets, SMI, and news about banks and other financial intermediaries, FII) on the long‐term volatilities of commodity futures. Our empirical results clearly show that NVIX behaves heterogeneously in energy and non‐energy sectors. NVIX exerts a positively significant influence on volatilities of non‐energy futures. By contrast, volatilities of energy futures cannot be triggered by NVIX. We further show that SMI significantly affects both energy and non‐energy futures, whereas, FII only impacts non‐energy futures.

show abstract

Monetary policy and price dynamics in a commodity futures market

Cited by 6 publications

References 16 publications

Intermediary asset pricing in commodity futures returns

Intermediary asset pricing in commodity futures returns

The informational content of unconventional monetary policy on precious metal markets

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors

Contact Info

Product

Resources

About