The Economics of Commodity Markets

Julien Chevallier 지음

Wiley 2013년 06월 19일 출간

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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 bo

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Preface xiList of Figures xiiiList of Tables xviiAcronyms xxvPART I COMMODITY MARKET DYNAMICS 11 Individual Dynamics: From Trends to Risks 31.1 Backwardation, Contango and Commodity Risk Premium 91.2 Understanding Commodities&' Momenta 131.2.1 Persistence of Shocks in Commodities 181.2.2 The Nature of Momentum in Commodity Markets 201.2.3 Time Series Momentum and the Number and Nature of Regimes 321.3 Volatility to Returns Spillovers and Tail Events in Commodities 431.3.1 Spillover Effects in Commodity Markets 431.3.2 Twenty Years of Jumps in Commodity Markets 51References 612 Cross-Asset Linkages 692.1 Common Risk Factors in Commodities 772.1.1 Literature Review 782.1.2 PCA and the Estimation of the Number of Common Components 802.1.3 Empirical Findings 822.2 Volatility Spillovers in Commodity Markets 902.2.1 The Volatility Spillover Index 962.2.2 Four Empirical Applications 98References 110PART II COMMODITIES AND THE BUSINESS CYCLE 1153 The Reaction of Commodity Markets to Economic News 1173.1 Measuring the Impact of Price Discovery on Asset Prices 1173.2 Key Insights from the Academic Literature 1183.3 Database of News 1193.4 An Example: SP 500, 10Y and USD 1213.5 Commodity Indices 1223.6 Dependence on the Business Cycle: NBER Recessions/Expansion Phases 1233.7 Rolling Analysis 1253.8 Preliminary Findings 1283.9 Market-by-Market Analysis 1293.9.1 Database for Commodity Prices 1293.9.2 Precious Metals 1303.9.3 Industrial Metals 1323.9.4 Energy 1353.9.5 Agricultural Commodities 1383.10 Concluding Remarks 143References 1434 Economic Regimes and Commodity Markets as an Asset Class 1454.1 Index Performances, the Fed and the NBER Crises 1454.2 Measuring the Bus

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저자(글) Julien Chevallier

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Dr. Julien Chevallier is a Tenured Associate Professor (Professeur des Universite's) of Economics at theUniversity Paris 8, where he undertakes research and lectures on time-series econometrics applied to financial, commodity and energy markets,including carbon markets (EU ETS, Kyoto Protocol). He is a member of the Dionysian Economics Lab (Laboratoire d'Economie Dionysien,LED). He is also a member of the Center for Geopolitics and Raw Materials (Centre de Ge'opolitique de l'Energie et des Matiegrave;res Premiegrave;res,CGEMP-LEDa) at the University Paris Dauphine, andVisiting Researcher with EconomiX-CNRS at the University Paris West Nanterre La De'fense. Prior to this position, Dr. Chevallier was an Assistant Professor of Economics at the University Paris Dauphine [2009-12]. He received his Ph.D. in Economics from the University Paris West Nanterre La De'fense 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, includingApplied Economics, Energy Economics, Resource and Energy Economics 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. Additional Memberships of Editorial Boards includeLow Carbon Economy, Advances in Energy Research, the Journal of Modern Economy and Management; as well as Guest-Editing special issues at the Journal of Energy Markets Sustainability.