Societies Beyond Oil: Oil Dregs and Social Futures
نویسندگان
چکیده
منابع مشابه
Do Oil Futures Prices Help Predict Future Oil Prices?
2004 and by more than 40% since the beginning of 2005.Though the U.S. economy has apparently absorbed this supply shock well so far, the path of future oil prices remains a concern for monetary policymakers. Higher oil prices can damp demand, as consumers and firms spend more of their budgets on oil-related products and less on other goods and services. Furthermore, if higher oil prices are pas...
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If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for their assumption of nondiversifiable risk in the form of positive expected returns from their positions. We show that this interaction can produce an affine factor structure to commodity futures prices,...
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This paper constructs a macro-finance model for commodity futures. I document a feedback relationship between crude oil prices and real economic activity. The channel from real activity to oil prices is unspanned – meaning not identified in current futures prices – consistent with oil futures as a hedge asset against supply shocks. Unspanned macroeconomic risks have first order effects on risk ...
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We analyze mean-variance-optimal dynamic hedging strategies in oil futures for oil producers and consumers. In a model for the oil spot and futures market with Gaussian convenience yield curves and a stochastic market price of risk, we find analytical solutions for the optimal trading strategies. An implementation of our strategies in an out-of-sample test on market data shows that the hedging ...
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ژورنال
عنوان ژورنال: The AAG Review of Books
سال: 2016
ISSN: 2325-548X
DOI: 10.1080/2325548x.2016.1117339