Measuring Financial Investor Presence Through Term Structure Deflection

Item Type	Monograph (Working Paper)
Abstract	We estimate the presence of financial investors in commodity futures markets from deflections in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We compare this new speculation indicator to popular existing measures including reported CFTC data and the Hamilton and Wu (2014) risk premium. We find substantial financial investor presence in commodity markets from 2004 to 2014. We show that our new speculation measure is better at explaining the variation in crude oil volatility than other existing measures.
Authors	Adams, Zeno; Collot, Solène Marine Sophie & Kirilenko, Andrei
Language	English
Keywords	Termstructure; deflection; financialization; spline interpolation
Subjects	business studies economics finance
HSG Classification	contribution to scientific community
HSG Profile Area	SOF - System-wide Risk in the Financial System
Date	2021
Publisher	SoF-HSG
Place of Publication	St.Gallen
Series Name	School of Finance Working Paper Series
Volume	2021/08
Number	08
Number of Pages	35
Contact Email Address	zeno.adams@unisg.ch
Depositing User	Beatrix Kobelt-Glock
Date Deposited	06 May 2021 13:12
Last Modified	20 Jul 2022 17:45
URI:	https://www.alexandria.unisg.ch/publications/263131

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Adams, Zeno; Collot, Solène Marine Sophie & Kirilenko, Andrei: Measuring Financial Investor Presence Through Term Structure Deflection. School of Finance Working Paper Series, 2021, 08.

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https://www.alexandria.unisg.ch/id/eprint/263131

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