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Zeno Adams
Title
Dr.
Last Name
Adams
First name
Zeno
Email
zeno.adams@unisg.ch
Phone
+41 71 224 70 14
Skype
zeno.adams
Now showing
1 - 6 of 6
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PublicationRecovering from Shocks: Term Structure Signalling in Commodity Markets *( 2023-09-20)We examine the behaviour of commodity term structures following economic shocks. The response of the futures curve in the near term, relative to the front-month future, reflects market expectations about the type, magnitude, and persistence of a shock. These market expectations have predictive power for the recovery time after a shock. Our findings challenge the current view that term structures in commodity markets cannot contain market expectations due to arbitrage forces of the carry trade.Type: working paper
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PublicationSystemic Risk of Commodity Traders( 2023-08-24)Glück, ThorstenWe examine the disruptions to global commodity flows following the bankruptcy of a commodity trading firm. The physical commodity network is operated by a handful of large traders that are responsible for the timely delivery of raw materials and inputs to industrial production. We propose a model that simulates the resilience and response time of the network following a shock. Our results suggest that a number of commodity traders carry significant systemic risk. The forced removal of a trader from the network has considerable implications for the prices and availability of physical commodities over a period of 6 to 12 months.Type: working paper
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PublicationMeasuring Financial Investor Presence Through Term Structure DeflectionWe 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.Type: working paperVolume: 2021/08Issue: 08
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PublicationType: working paperVolume: 2018Issue: 2018/09
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PublicationType: working paperVolume: 2016/15Issue: 15
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PublicationFinancialization in Commodity Markets: A Passing Trend or the New Normal?In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial distress alone cannot explain the size and persistence of comovements. Instead, we argue that commodities have become an investment style for institutional investors. Given that institutional investors continue to target funds into commodities, we predict spillovers between commodities and the stock market to remain high in the future.