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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CitationAdams, Zeno; Collot, Solène Marine Sophie & Kirilenko, Andrei: Measuring Financial Investor Presence Through Term Structure Deflection. School of Finance Working Paper Series, 2021, 08. Statisticshttps://www.alexandria.unisg.ch/id/eprint/263131
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