Data on total U.S. oil consumption and worldwide oil production comes from the Energy Information Association (EIA). Data on household consumption and GDP come from the BEA’s NIPA surveys. Data on TFP, hours worked, and capital supply are from the San Francisco Federal Reserve.1 Data on oil futures are for the NYMEX West Texas Intermediate (WTI) contract, and come from the Commodity Research Bu...

Crude oil futures to manage the price risk of natural rubber: Empirical evidence from India | Kepulaje Abhaya Kumar, Prakash Pinto, Iqbal Thonse Hawaldar, Cristi Spulbar, Ramona Birau Agricultural Journals

We investigate volatility spillovers from West Texas Intermediate (WTI) crude oil to carbon emission allowance futures, focusing on the period surrounding WTI negative pricing event of April 2020. Results evidence, pre-negative WTI, a doubling directional spillover futures upon global spread COVID-19, with sharp elevation allowances during specific WTI. This extraordinary rise in continued past...

Commodity prices tend to be volatile, and volatility itself varies over time. Changes in volatility can affect market variables by directly affecting the marginal value of storage, and by affecting a component of the total marginal cost of production: the opportunity cost of exercising the option to produce the commodity now rather than waiting for more price information. I examine the role of ...

This paper studies a high frequency time series of oil futures trading contracts and the affect that publicly announced macroeconomic information in the form of an Oil Inventory announcement given by the Energy Information Association in the US has upon it. Using the time series sampled at a five-minute frequency, it is the intention to detect any impacts to the price of the contracts after the...