Author : Harold L. Cole
Publisher :
Page : pages
File Size : 24,72 MB
Release : 1991
Category :
ISBN :
Abstract: This paper evaluates the gains from international risk sharing in some simple general-equilibrium models with output uncertainty. Under empirically plausible calibration, the.
Author : Stephane Goutte
Publisher : World Scientific
Page : 355 pages
File Size : 11,77 MB
Release : 2020-04-28
Category : Business & Economics
ISBN : 981121025X
The link between commodities prices and the business cycle, including variables such as real GDP, industrial production, unemployment, inflation, and market uncertainty, has often been debated in the macroeconomic literature. To quantify the impact of commodities on the economy, one can distinguish different modeling approaches. First, commodities can be represented as the pinnacle of cross-sectional financial asset prices. Second, price fluctuations due to seasonal variations, dramatic market changes, political and regulatory decisions, or technological shocks may adversely impact producers who use commodities as input. This latter effect creates the so-called 'commodities risk'. Additionally, commodities price fluctuations may spread to other sectors in the economy, via contagion effects. Besides, stronger investor interest in commodities may create closer integration with conventional asset markets; as a result, the financialization process also enhances the correlation between commodity markets and financial markets.Our objective in this book, Risk Factors and Contagion in Commodity Markets and Stocks Markets, lies in answering the following research questions: What are the interactions between commodities and stock market sentiment? Do some of these markets move together overtime? Did the financialization in energy commodities occur after the 2008 Global Financial Crisis? These questions are essential to understand whether commodities are driven only by their fundamentals, or whether there is also a systemic component influenced by the volatility present within the stock markets.
Author : Martin Berka
Publisher :
Page : 0 pages
File Size : 29,29 MB
Release : 2012
Category :
ISBN :
Cole and Obstfeld (1991) exposited a classic result where equilibrium movements in the terms of trade could make ex ante risk-sharing arrangements unnecessary: a unity elasticity of substitution across goods and production specialization. This paper extends their model to N countries and M commodities (N > M). Here the terms of trade provides insurance against commodity-specific shocks, not country-specific shocks. Using commodity-level production data at the national level and world commodity prices, we document significant terms of trade variability and positive responses of nation-specific production to terms of trade improvements. The endogenous terms of trade insurance mechanism highlighted in CO is virtually non-existent. Cole et Obstfeld (1991) ont développé un résultat classique montrant que les mouvements d'équilibre dans les termes d'échange pouvaient faire l'économie d'arrangements ex ante pour le partage du risque: une élasticité de substitution unitaire entre biens et spécialisations dans la production. Ce texte développe leur modèle pour N pays et M biens (N.> M). Les termes d'échange fournissent l'assurance contre les chocs spécifiques à certains biens, mais non contre les chocs en provenance de certains pays. Utilisant des données de production au niveau des biens au plan national et des prix des biens au niveau mondial, on observe une variabilité significative des termes d'échange et des réponses positives de la production spécifiquement nationale aux améliorations dans les termes d'échange. Le mécanisme endogène d'assurance via les termes d'échange mis en lumière par CO est virtuellement non-existant.
Author : Michael Tamvakis
Publisher : CRC Press
Page : 529 pages
File Size : 19,19 MB
Release : 2015-04-10
Category : Law
ISBN : 1317663373
What affects the supply of oil? How important is the weather in determining grain prices? Why has the price of copper skyrocketed? This unique book analyses the economics of key commodity groups, including energy, agriculture and metals. It examines the supply/demand fundamentals of several major and minor commodities, physical characteristics, production and consumption patterns, trade flows and pricing mechanisms. It also explains the main tools used to hedge price risk, such as futures, options and swaps. This second edition has been fully revised and restructured, and contains four new chapters, including oil refining, electricity and price risk management for energy, metals and agricultural commodities This book is an indispensable reference text for students, academics and those working in the commodity business.
Author : Mr.Luis Catão
Publisher : International Monetary Fund
Page : 48 pages
File Size : 14,44 MB
Release : 2013-05-17
Category : Business & Economics
ISBN : 1484371569
How should monetary policy respond to large fluctuations in world food prices? We study this question in an open economy model in which imported food has a larger weight in domestic consumption than abroad and international risk sharing can be imperfect. A key novelty is that the real exchange rate and the terms of trade can move in opposite directions in response to world food price shocks. This exacerbates the policy trade-off between stabilizing output prices vis a vis the real exchange rate, to an extent that depends on risk sharing and the price elasticity of exports. Under perfect risk sharing, targeting the headline CPI welfare-dominates targeting the PPI if the variance of food price shocks is not too small and the export price elasticity is realistically high. In such a case, however, targeting forecast CPI is a superior choice. With incomplete risk sharing, PPI targeting is clearly a winner.
Author : Michael Tamvakis
Publisher : CRC Press
Page : 445 pages
File Size : 33,17 MB
Release : 2015-04-10
Category : Law
ISBN : 1317663365
What affects the supply of oil? How important is the weather in determining grain prices? Why has the price of copper skyrocketed? This unique book analyses the economics of key commodity groups, including energy, agriculture and metals. It examines the supply/demand fundamentals of several major and minor commodities, physical characteristics, production and consumption patterns, trade flows and pricing mechanisms. It also explains the main tools used to hedge price risk, such as futures, options and swaps. This second edition has been fully revised and restructured, and contains four new chapters, including oil refining, electricity and price risk management for energy, metals and agricultural commodities This book is an indispensable reference text for students, academics and those working in the commodity business.
Author : Harold L. Cole
Publisher :
Page : 68 pages
File Size : 17,85 MB
Release : 1989
Category : Capital market
ISBN :
This paper evaluates the gains from international risk sharing in some simple general-equilibrium models with output uncertainty. Under empirically plausible calibration, the Incremental loss from a ban on international portfolio diversification is estimated to be quite small--0.15 percent of output per year is a representative figure. Even the theoretical gains from asset trade may disappear under alternative sets of assumptions on preferences and technology. The paper argues that the small magnitude of potential trade gains, when coupled with small costs of cross-border financial transactions, may explain the apparently inconsistent findings of empirical studies on the degree of international capital mobility.
Author : Aart Kraay
Publisher :
Page : 40 pages
File Size : 43,94 MB
Release : 1995
Category : Business cycles
ISBN :
Author : Giancarlo Corsetti
Publisher :
Page : 0 pages
File Size : 15,15 MB
Release : 2023
Category : Business logistics
ISBN :
Unlike final-goods trade, intermediate-input trade through Global Value Chains (GVCs) creates supply-side linkages across borders. We show that, even when GVCs themselves are efficient, they have welfare implications because these linkages affect countries’ ability to share risks in incomplete financial markets. This novel interaction between trade and finance arises from a distinct channel of cross-border transmission with GVCs, the marginal-cost effect. Productivity shocks, by moving relative prices, impact the marginal cost of production both at home and abroad, and therefore, in equilibrium, their relative supply. When international financial markets are incomplete, these supply-side linkages will affect household wealth in both countries, and, in turn, the degree of international risk sharing. The direction and strength of this effect varies with the trade elasticity and the degree of GVC integration, with non-monotonic effects leading to ‘fragmentation traps’ in which small increases in GVC integration reduce risk sharing, while large increases would improve it. We show that in the quantitatively relevant case, GVCs reduce cross-border misalignments, and so endogenously support international risk sharing.
Author : Andrea Roncoroni
Publisher : John Wiley & Sons
Page : 1076 pages
File Size : 19,58 MB
Release : 2015-02-19
Category : Business & Economics
ISBN : 0470661836
Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.
