Bahattin Buyuksahin’s research on the role
of speculators in crude oil prices, with Jeff Harris of the Syracuse University, was
the focus of an article on SeekingAlpha.com. The article discusses Buyuksahin
and Harris’ research, summarizing their conclusion: “They do not dispute a
correlation between speculative activity and oil price – the participants in
the oil futures market increased dramatically during the oil price spikes of
2007-8 - but they do not assume causation..” ViewFull Article (1/5/12)
Showing posts with label Role of Speculators. Show all posts
Showing posts with label Role of Speculators. Show all posts
Sunday, October 2, 2011
Monday, September 19, 2011
Do Institutional Traders Predict Bull and Bear Markets?
I will be presenting our new research paper (joint work with Celso Brunetti and Jeffrey Harris), entitled "Do Institutional Traders Predict Bull and Bear Markets?", at the American University, Washington DC, on October 13, at the International Monetary Fund in Washington DC, on October 14, 2011 and at the European Central Bank in Frankfurt, Germany on November 10, 2011.
Abstract:
We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental economic factors within each market. More importantly, institutional positions also contribute incrementally to the probability of regime changes displaying the synchronization patterns modeled in Abreu and Brunnermeier (2002; 2003). Conditioning on hedge fund activity and arbitrageur activity significantly improves our probability estimates, demonstrating that institutional positions can be useful in determining whether price trends resembling bubble patterns will continue or reverse.
Abstract:
We analyze the role of hedge fund, swap dealer and arbitrageur activity in a Markov regime-switching model between high volatility bear markets and low volatility bull markets for crude oil, corn and Mini-S&P500 index futures. We find that these institutional positions reflect fundamental economic factors within each market. More importantly, institutional positions also contribute incrementally to the probability of regime changes displaying the synchronization patterns modeled in Abreu and Brunnermeier (2002; 2003). Conditioning on hedge fund activity and arbitrageur activity significantly improves our probability estimates, demonstrating that institutional positions can be useful in determining whether price trends resembling bubble patterns will continue or reverse.
Wednesday, May 18, 2011
The Role of Financial Players on Financialisation of Commodities
On May 6 2011, I presented at the symposium of the Scientific Council, organised by AMF and CRE. My presentation was entitled "The role of financial players on financialisation of commodities." It was based on my two related articles:
Thursday, February 24, 2011
Pre-emptive Moves Against Speculation*
Speculators have never been popular, and they may never have been as unpopular as they are today. Increasingly they are blamed for fluctuations in commodity prices, particularly in energy prices, even though a market lacking speculators to take the other side of price hedging transactions for physical market players would arguably be one that would be much more volatile.
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