spb/phd_thesis Public

1@article{doi:10.1198/jbes.2009.07205,2author = {S. Borağan Aruoba and Francis X. Diebold and Chiara Scotti},3title = {Real-Time Measurement of Business Conditions},4journal = {Journal of Business \& Economic Statistics},5volume = {27},6number = {4},7pages = {417-427},8year  = {2009},9publisher = {Taylor & Francis},10doi = {10.1198/jbes.2009.07205},1112URL = { 13    14        https://doi.org/10.1198/jbes.2009.0720515    16    1718},19eprint = { 20    21        https://doi.org/10.1198/jbes.2009.0720522    23    2425}2627}2829303132@techreport{NBERw19523,33 title = "Time Variation in Asset Price Responses to Macro Announcements",34 author = "Goldberg, Linda S and Grisse, Christian",35 institution = "National Bureau of Economic Research",36 type = "Working Paper",37 series = "Working Paper Series",38 number = "19523",39 year = "2013",40 month = "October",41 doi = {10.3386/w19523},42 URL = "http://www.nber.org/papers/w19523",43 abstract = {Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements that have the largest effects on asset prices.  The time variation in effects is explained by economic  conditions, including the level of policy rates at the time of the release, and risk conditions: government bond yields increase in response to "good news", but less so when risk is elevated. Risk conditions matter since they can capture the effects of uncertainty on the information content of news announcements, the interaction of monetary policy and financial stability objectives of central banks, and the effect of news announcements on the risk premium.},44}45@article{SCOTTI20161,46title = {Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises},47journal = {Journal of Monetary Economics},48volume = {82},49pages = {1-19},50year = {2016},51issn = {0304-3932},52doi = {https://doi.org/10.1016/j.jmoneco.2016.06.002},53url = {https://www.sciencedirect.com/science/article/pii/S0304393216300320},54author = {Chiara Scotti},55keywords = {Business cycle, Dynamic factor model, State space model, Forecasting weights},56abstract = {Two daily, real-time, real-activity indexes are constructed for the United States, euro area, United Kingdom, Canada, and Japan: (i) a surprise index summarizing recent economic data surprises and measuring optimism/pessimism about the state of the economy, and (ii) an uncertainty index measuring uncertainty related to the state of the economy. The surprise index parsimoniously preserves the properties of the underlying series when affecting asset prices. For the United States, the real-activity uncertainty index is compared to other uncertainty proxies to show that, when uncertainty is strictly related to real activity only, it has a potentially milder effect on economic activity.}57}5859@article{10.1257/aer.20190964,60Author = {Känzig, Diego R.},61Title = {The Macroeconomic Effects of Oil Supply News: Evidence from {OPEC} Announcements},62Journal = {American Economic Review},63Volume = {111},64Number = {4},65Year = {2021},66Month = {April},67Pages = {1092-1125},68DOI = {10.1257/aer.20190964},69URL = {https://www.aeaweb.org/articles?id=10.1257/aer.20190964}}70@article{garbade1983price,71  title={Price movements and price discovery in futures and cash markets},72  author={Garbade, Kenneth D and Silber, William L},73  journal={Review of Economics and Statistics},74  volume = {65},75  number = {2},76  pages={289--297},77  year={1983},78  publisher={JSTOR}79}80@article{andersen1998deutsche,81  title={Deutsche mark--dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies},82  author={Andersen, Torben G and Bollerslev, Tim},83  journal={Journal of Finance},84  volume={53},85  number={1},86  pages={219--265},87  year={1998},88  publisher={Wiley Online Library}89}9091@article{andersen2007real,92  title={Real-time price discovery in global stock, bond and foreign exchange markets},93  author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},94  journal={Journal of International Economics},95  volume={73},96  number={2},97  pages={251--277},98  year={2007},99  publisher={Elsevier}100}101102@article{andersen2003micro,103  title={Micro effects of macro announcements: Real-time price discovery in foreign exchange},104  author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},105  journal={American Economic Review},106  volume={93},107  number={1},108  pages={38--62},109  year={2003}110}111112@article{basak2016model,113  title={A model of financialization of commodities},114  author={Basak, Suleyman and Pavlova, Anna},115  journal={Journal of Finance},116  volume={71},117  number={4},118  pages={1511--1556},119  year={2016},120  publisher={Wiley Online Library}121}122123@article{brunetti2016speculators,124  title={Speculators, prices, and market volatility},125  author={Brunetti, Celso and B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Harris, Jeffrey H},126  journal={Journal of Financial and Quantitative Analysis},127  volume = {51},128  number = {5},129  pages={1545--1574},130  year={2016},131  publisher={JSTOR}132}133134@article{balduzzi2001economic,135  title={Economic news and bond prices: Evidence from the US Treasury market},136  author={Balduzzi, Pierluigi and Elton, Edwin J and Green, T Clifton},137  journal={Journal of Financial and Quantitative analysis},138  volume = {36},139  number={4},140  pages={523--543},141  year={2001},142  publisher={JSTOR}143}144145@article{beechey2009high,146  title={The high-frequency impact of news on long-term yields and forward rates: Is it real?},147  author={Beechey, Meredith J and Wright, Jonathan H},148  journal={Journal of Monetary Economics},149  volume={56},150  number={4},151  pages={535--544},152  year={2009},153  publisher={Elsevier}154}155156@article{bernanke2005explains,157  title={What explains the stock market's reaction to Federal Reserve policy?},158  author={Bernanke, Ben S and Kuttner, Kenneth N},159  journal={Journal of Finance},160  volume={60},161  number={3},162  pages={1221--1257},163  year={2005},164  publisher={Wiley Online Library}165}166167@article{boehm2020us,168  title={The {US}, economic news, and the global financial cycle},169  author={Boehm, Christoph and Kroner, Niklas},170  journal={Economic News, and the Global Financial Cycle (January 10, 2020)},171  year={2020}172}173174175@article{bollerslev1986generalized,176  title={Generalized autoregressive conditional heteroskedasticity},177  author={Bollerslev, Tim},178  journal={Journal of Econometrics},179  volume={31},180  number={3},181  pages={307--327},182  year={1986},183  publisher={Elsevier}184}185186@article{boyd2005stock,187  title={The stock market's reaction to unemployment news: Why bad news is usually good for stocks},188  author={Boyd, John H and Hu, Jian and Jagannathan, Ravi},189  journal={Journal of Finance},190  volume={60},191  number={2},192  pages={649--672},193  year={2005},194  publisher={Wiley Online Library}195}196197@article{bryan1993consumer,198  title={The Consumer Price Index as a measure of inflation},199  author={Bryan, Michael F and Cecchetti, Stephen G},200  journal={Economic Review-Federal Reserve Bank of Cleveland},201  volume={29},202  number={4},203  pages={15},204  year={1993},205  publisher={Federal Reserve Bank of Cleveland}206}207208@article{buyukcsahin2014speculators,209  title={Speculators, commodities and cross-market linkages},210  author={B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Robe, Michel A},211  journal={Journal of International Money and Finance},212  volume={42},213  pages={38--70},214  year={2014},215  publisher={Elsevier}216}217218@article{cai2001moves,219  title={What moves the gold market?},220  author={Cai, Jun and Cheung, Yan-Leung and Wong, Michael CS},221  journal={Journal of Futures Markets},222  volume={21},223  number={3},224  pages={257--278},225  year={2001},226  publisher={Wiley Online Library}227}228@article{clark1997us,229  title={{US} inflation developments in 1996},230  author={Clark, Todd E and others},231  journal={Economic Review-Federal Reserve Bank of Kansas City},232  volume={82},233  pages={11--30},234  year={1997},235  publisher={Federal Reserve Bank of Kansas City}236}237238239@article{couleau2020corn,240  title={Are corn futures prices getting `jumpy'?},241  author={Couleau, Anabelle and Serra, Teresa and Garcia, Philip},242  journal={American Journal of Agricultural Economics},243  volume={102},244  number={2},245  pages={569--588},246  year={2020},247  publisher={Wiley Online Library}248}249250@article{creti2013links,251  title={On the links between stock and commodity markets' volatility},252  author={Creti, Anna and Jo{\"e}ts, Marc and Mignon, Val{\'e}rie},253  journal={Energy Economics},254  volume={37},255  pages={16--28},256  year={2013},257  publisher={Elsevier}258}259260@article{deaton1992behaviour,261  title={On the behaviour of commodity prices},262  author={Deaton, Angus and Laroque, Guy},263  journal={Review of Economic Studies},264  volume={59},265  number={1},266  pages={1--23},267  year={1992},268  publisher={Wiley-Blackwell}269}270271@article{engle1982autoregressive,272  title={Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation},273  author={Engle, Robert F},274  journal={Econometrica},275  pages={987--1007},276  year={1982},277  publisher={JSTOR}278}279280@article{ehrmann2004taking,281  title={Taking stock: Monetary policy transmission to equity markets},282  author={Ehrmann, Michael and Fratzscher, Marcel},283  journal={Journal of Money, Credit and Banking},284  pages={719--737},285  year={2004},286  publisher={JSTOR}287}288289@incollection{fama2016commodity,290  title={Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage},291  author={Fama, Eugene F and French, Kenneth R},292  booktitle={The World Scientific Handbook of Futures Markets},293  pages={79--102},294  year={2016},295  publisher={World Scientific}296}297298@article{fattouh2013role,299  title={The role of speculation in oil markets: What have we learned so far?},300  author={Fattouh, Bassam and Kilian, Lutz and Mahadeva, Lavan},301  journal={The Energy Journal},302  volume={34},303  number={3},304  year={2013},305  publisher={International Association for Energy Economics}306}307308@article{flannery2002macroeconomic,309  title={Macroeconomic factors do influence aggregate stock returns},310  author={Flannery, Mark J and Protopapadakis, Aris A},311  journal={Review of Financial Studies},312  volume={15},313  number={3},314  pages={751--782},315  year={2002},316  publisher={Oxford University Press}317}318319@article{fleming1999price,320  title={Price formation and liquidity in the US Treasury market: The response to public information},321  author={Fleming, Michael J and Remolona, Eli M},322  journal={Journal of Finance},323  volume={54},324  number={5},325  pages={1901--1915},326  year={1999},327  publisher={Wiley Online Library}328}329330@article{fleming1997moves,331  title={What moves the bond market?},332  author={Fleming, Michael J and Remolona, Eli M},333  journal={Federal Reserve Bank of New York Economic Policy Review},334  volume={3},335  number={4},336  year={1997}337}338339340@article{getz1990barometer,341  title={Diffusion indexes: a barometer of the economy},342  author={Getz, Patricia M and Ulmer, Mark G},343  journal={Bureau of Labor Statistics Monthly Labor Review},344  pages={13},345  year={1990}346}347348@article{wirl2004impact,349  title={The impact of {OPEC} Conference outcomes on world oil prices 1984-2001},350  author={Wirl, Franz and Kujundzic, Azra},351  journal={The Energy Journal},352  volume={25},353  number={1},354  pages = {45--62},355  year={2004},356  publisher={International Association for Energy Economics}357}358359@article{gorton2006facts,360  title={Facts and fantasies about commodity futures},361  author={Gorton, Gary and Rouwenhorst, K Geert},362  journal={Financial Analysts Journal},363  volume={62},364  number={2},365  pages={47--68},366  year={2006},367  publisher={Taylor \& Francis}368}369370@article{glick2012central,371  title={Central bank announcements of asset purchases and the impact on global financial and commodity markets},372  author={Glick, Reuven and Leduc, Sylvain},373  journal={Journal of International Money and Finance},374  volume={31},375  number={8},376  pages={2078--2101},377  year={2012},378  publisher={Elsevier}379}380381@article{gurkaynak2005sensitivity,382  title={The sensitivity of long-term interest rates to economic news: Evidence and implications for macroeconomic models},383  author={G{\"u}rkaynak, Refet S and Sack, Brian and Swanson, Eric},384  journal={American Economic Review},385  volume={95},386  number={1},387  pages={425--436},388  year={2005}389}390391@article{glosten1993relation,392  title={On the relation between the expected value and the volatility of the nominal excess return on stocks},393  author={Glosten, Lawrence R and Jagannathan, Ravi and Runkle, David E},394  journal={Journal of Finance},395  volume={48},396  number={5},397  pages={1779--1801},398  year={1993},399  publisher={Wiley Online Library}400}401402@article{hakkio1985reaction,403  title={The reaction of exchange rates to economic news},404  author={Hakkio, Craig S and Pearce, Douglas K},405  journal={Economic Inquiry},406  volume={23},407  number={4},408  pages={621--636},409  year={1985},410  publisher={Wiley Online Library}411}412413@article{hammoudeh2008metal,414  title={Metal volatility in presence of oil and interest rate shocks},415  author={Hammoudeh, Shawkat and Yuan, Yuan},416  journal={Energy Economics},417  volume={30},418  number={2},419  pages={606--620},420  year={2008},421  publisher={Elsevier}422}423424425@article{hu2017early,426  title={Early peek advantage? Efficient price discovery with tiered information disclosure},427  author={Hu, Grace Xing and Pan, Jun and Wang, Jiang},428  journal={Journal of Financial Economics},429  volume={126},430  number={2},431  pages={399--421},432  year={2017},433  publisher={Elsevier}434}435436@article{irwin2012financialization,437  title={Financialization and structural change in commodity futures markets},438  author={Irwin, Scott H and Sanders, Dwight R},439  journal={Journal of Agricultural and Applied Economics},440  volume={44},441  number={1379-2016-113661},442  pages={371--396},443  year={2012}444}445446@article{joets2017does,447  title={Does the volatility of commodity prices reflect macroeconomic uncertainty?},448  author={Jo{\"e}ts, Marc and Mignon, Val{\'e}rie and Razafindrabe, Tovonony},449  journal={Energy Economics},450  volume={68},451  pages={313--326},452  year={2017},453  publisher={Elsevier}454}455456@article{kilian2014role,457  title={The role of inventories and speculative trading in the global market for crude oil},458  author={Kilian, Lutz and Murphy, Daniel P},459  journal={Journal of Applied econometrics},460  volume={29},461  number={3},462  pages={454--478},463  year={2014},464  publisher={Wiley Online Library}465}466467@article{kurov2019price,468  title={Price drift before US macroeconomic news: Private information about public announcements?},469  author={Kurov, Alexander and Sancetta, Alessio and Strasser, Georg and Wolfe, Marketa Halova},470  journal={Journal of Financial and Quantitative Analysis},471  volume={54},472  number={1},473  pages={449--479},474  year={2019},475  publisher={Cambridge University Press}476}477478@article{kurov2018monetary,479  title={Monetary policy uncertainty and the market reaction to macroeconomic news},480  author={Kurov, Alexander and Stan, Raluca},481  journal={Journal of Banking \& Finance},482  volume={86},483  pages={127--142},484  year={2018},485  publisher={Elsevier}486}487488@article{lee1995oil,489  title={Oil shocks and the macroeconomy: the role of price variability},490  author={Lee, Kiseok and Ni, Shawn and Ratti, Ronald A},491  journal={The Energy Journal},492  volume={16},493  number={4},494  pages = {39--56},495  year={1995},496  publisher={International Association for Energy Economics}497}498499@article{nelson1991conditional,500  title={Conditional heteroskedasticity in asset returns: A new approach},501  author={Nelson, Daniel B},502  journal={Econometrica},503  pages={347--370},504  year={1991},505  publisher={JSTOR}506}507508@techreport{pearce1984stock,509  title={Stock prices and economic news},510  author={Pearce, Douglas K and Roley, V Vance},511  year={1984},512  institution={National Bureau of Economic Research}513}514515@article{singleton2014investor,516  title={Investor flows and the 2008 boom/bust in oil prices},517  author={Singleton, Kenneth J},518  journal={Management Science},519  volume={60},520  number={2},521  pages={300--318},522  year={2014},523  publisher={INFORMS}524}525526@article{stoll2010commodity,527  title={Commodity index investing and commodity futures prices},528  author={Stoll, Hans R and Whaley, Robert E},529  journal={Journal of Applied Finance (Formerly Financial Practice and Education)},530  volume={20},531  number={1},532  year={2010}533}534535@article{savor2013much,536  title={How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements},537  author={Savor, Pavel and Wilson, Mungo},538  journal={Journal of Financial and Quantitative Analysis},539  pages={343--375},540  year={2013},541  publisher={JSTOR}542}543544@article{scholtus2014speed,545  title={Speed, algorithmic trading, and market quality around macroeconomic news announcements},546  author={Scholtus, Martin and Van Dijk, Dick and Frijns, Bart},547  journal={Journal of Banking \& Finance},548  volume={38},549  pages={89--105},550  year={2014},551  publisher={Elsevier}552}553554@article{horan2004implied,555  title={Implied volatility of oil futures options surrounding {OPEC} meetings},556  author={Horan, Stephen M and Peterson, Jeffrey H and Mahar, James},557  journal={The Energy Journal},558  volume={25},559  number={3},560  pages = {103--125},561  year={2004},562  publisher={International Association for Energy Economics}563}564565@article{tang2012index,566  title={Index investment and the financialization of commodities},567  author={Tang, Ke and Xiong, Wei},568  journal={Financial Analysts Journal},569  volume={68},570  number={6},571  pages={54--74},572  year={2012},573  publisher={Taylor \& Francis}574}575576@article{vivian2012commodity,577  title={Commodity volatility breaks},578  author={Vivian, Andrew and Wohar, Mark E},579  journal={Journal of International Financial Markets, Institutions and Money},580  volume={22},581  number={2},582  pages={395--422},583  year={2012},584  publisher={Elsevier}585}586587@article{working1949theory,588  title={The theory of price of storage},589  author={Working, Holbrook},590  journal={American Economic Review},591  volume={39},592  number={6},593  pages={1254--1262},594  year={1949},595  publisher={JSTOR}596}597598@article{working1960speculation,599  title={Speculation on hedging markets},600  author={Working, Holbrook},601  journal={Food Research Institute Studies},602  volume={1},603  number={2}, 604  pages={185--220},605  year={1960}606}607608@article{goldstein2022commodity,609  title={Commodity financialization and information transmission},610  author={Goldstein, Itay and Yang, Liyan},611  journal={The Journal of Finance},612  volume={77},613  number={5},614  pages={2613--2667},615  year={2022},616  publisher={Wiley Online Library}617}618619@article{cheng2014financialization,620  title={Financialization of commodity markets},621  author={Cheng, Ing-Haw and Xiong, Wei},622  journal={Annual Review of Financial Economics},623  volume={6},624  number={1},625  pages={419--441},626  year={2014},627  publisher={Annual Reviews}628}629630@incollection{kaldor1976speculation,631  title={Speculation and economic stability},632  author={Kaldor, Nicholas},633  booktitle={The Economics of Futures Trading},634  pages={111--123},635  year={1976},636  publisher={Springer}637}638639640641@incollection{brennan1976supply,642  title={The supply of storage},643  author={Brennan, Michael J},644  booktitle={The Economics of Futures Trading},645  pages={100--107},646  year={1976},647  publisher={Springer}648}649650@article{keynes1923some,651  title={Some aspects of commodity markets},652  author={Keynes, John Maynard},653  journal={Manchester Guardian Commercial: European Reconstruction Series},654  volume={13},655  pages={784--786},656  year={1923}657}658659@article{hicks1975value,660  title={Value and capital: An inquiry into some fundamental principles of economic theory},661  author={Hicks, John Richard and others},662  journal={OUP Catalogue},663  year={1975},664  publisher={Oxford University Press}665}666667668@article{brennan1991price,669  title={The price of convenience and the valuation of commodity contingent claims,[w:] D. Land, B. 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Michael and Schachter, Barry},1546  journal = {Journal of Banking \& Finance},1547  volume = {21},1548  number = {6},1549  pages = {797--810},1550  year = {1997},1551  publisher = {Elsevier}1552}15531554@article{cheng2014financialization,1555  title = {Financialization of Commodity Markets},1556  author = {Cheng, Ing-Haw and Xiong, Wei},1557  journal = {Annual Review of Financial Economics},1558  volume = {6},1559  number = {1},1560  pages = {419--441},1561  year = {2014},1562  publisher = {Annual Reviews}1563}15641565@techreport{cheng2012convective,1566  title = {Convective Risk Flows in Commodity Futures Markets},1567  author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},1568  year = {2012},1569  institution = {National Bureau of Economic Research}1570}15711572@article{cheng2015convective,1573  title = {Convective Risk Flows in Commodity Futures Markets},1574  author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},1575  journal = {Review of Finance},1576  volume = {19},1577  number = {5},1578  pages = {1733--1781},1579  year = {2015},1580  publisher = {Oxford University Press}1581}15821583@article{christie2000macroeconomics,1584  title = {Do Macroeconomics News Releases Affect Gold and Silver Prices?},1585  author = {Christie--David, Rohan and Chaudhry, Mukesh and Koch, Timothy W.},1586  journal = {Journal of Economics and Business},1587  volume = {52},1588  number = {5},1589  pages = {405--421},1590  year = {2000},1591  publisher = {Elsevier}1592}15931594@article{daigler1999impact,1595  title = {The Impact of Trader Type on the Futures Volatility-Volume Relation},1596  author = {Daigler, Robert T. and Wiley, Marilyn K.},1597  journal = {Journal of Finance},1598  volume = {54},1599  number = {6},1600  pages = {2297--2316},1601  year = {1999},1602  publisher = {Wiley Online Library}1603}16041605@article{erb2013golden,1606  title = {The Golden Dilemma},1607  author = {Erb, Claude B and Harvey, Campbell R},1608  journal = {Financial Analysts Journal},1609  volume = {69},1610  number = {4},1611  pages = {10--42},1612  year = {2013},1613  publisher = {Taylor \& Francis}1614}16151616@article{fishe2012identifying,1617  title = {Identifying Informed Traders in Futures Markets},1618  author = {Fishe, Raymond P.H. and Smith, Aaron},1619  journal = {Journal of Financial Markets},1620  volume = {15},1621  number = {3},1622  pages = {329--359},1623  year = {2012},1624  url = {https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf},1625  keywords = {finance},1626  abstract = {We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.},1627  publisher = {North-Holland}1628}16291630@article{flemming1997moves,1631  title = {What Moves the Bond Market?},1632  author = {Flemming, Michael J. and Remolona, Eli M.},1633  journal = {Economic Policy Review},1634  volume = {3},1635  number = {4},1636  year = {1997}1637}16381639@article{frankel1985commodity,1640  title = {Commodity Prices, Money Surprises and Fed Credibility},1641  author = {Frankel, Jeffrey A. and Hardouvelis, Gikas A.},1642  journal = {Journal of Money, Credit and Banking},1643  volume = {17},1644  number = {4},1645  pages = {425--438},1646  year = {1985},1647  publisher = {JSTOR}1648}16491650@article{garbade1983price,1651  title = {Price Movements and Price Discovery in Futures and Cash Markets},1652  author = {Garbade, Kenneth D. and Silber, William L.},1653  journal = {Review of Economics and Statistics},1654  volume = {65},1655  number = {2},1656  pages = {289--297},1657  year = {1983},1658  publisher = {JSTOR}1659}16601661@article{galkin2018opec,1662  author = {Galkin, Philipp and Atalla, Tarek and Ren, Zhongyuan},1663  doi = {10.30573/ks--2018-dp38},1664  title = {An Estimation of the Drivers Behind OPEC’s Quota Decisions},1665  journal = {King Abdullah Petroleum Studies and Research Center Discussion Paper},1666  year = {2018}1667}16681669@article{gebarowski2015competition,1670  author = {Gębarowski, Robert and Drożdż, Stanisław and Górski, Arkadiusz and Oświęcimka, Paweł},1671  title = {Competition of Commodities for the Status of Money in an Agent-Based Model},1672  journal = {Acta Physica Polonica A},1673  volume = {127},1674  number = {3a},1675  pages = {A-51--A-54},1676  year = {2015},1677  doi = {10.12693/aphyspola.127.a-51}1678}16791680@techreport{goldberg2013time,1681  title = {Time Variation in Asset Price Responses to Macro Announcements},1682  author = {Goldberg, Linda S. and Grisse, Christian},1683  institution = {National Bureau of Economic Research},1684  type = {Working Paper},1685  series = {Working Paper Series},1686  number = {19523},1687  year = {2013},1688  month = {October},1689  doi = {10.3386/w19523},1690  url = {http://www.nber.org/papers/w19523}1691}16921693@article{goldstein2014speculation,1694  title = {Speculation and Hedging in Segmented Markets},1695  author = {Goldstein, Itay and Li, Yan and Yang, Liyan},1696  journal = {Review of Financial Studies},1697  volume = {27},1698  number = {3},1699  pages = {881--922},1700  year = {2014},1701  publisher = {Oxford University Press}1702}17031704@article{goldstein2022commodity,1705  title = {Commodity Financialization and Information Transmission},1706  author = {Goldstein, Itay and Yang, Liyan},1707  journal = {The Journal of Finance},1708  volume = {77},1709  number = {5},1710  pages = {2613--2667},1711  year = {2022},1712  publisher = {Wiley Online Library}1713}17141715@article{gospodinov2012effects,1716  title = {The Effects of Federal Funds Rate Surprises on S\&P 500 Volatility and Volatility Risk Premium},1717  author = {Gospodinov, Nikolay and Jamali, Ibrahim},1718  journal = {Journal of Empirical Finance},1719  volume = {19},1720  number = {4},1721  pages = {497--510},1722  year = {2012},1723  publisher = {Elsevier}1724}17251726@article{graicer2021opec,1727  author = {Graicer, Rafael and Nery, Thiago Affonso and Jucá, Michele Nascimento and Junior, Eli Hadad and Bastos, Douglas Dias},1728  doi = {10.5902/1983465963575},1729  title = {The Impact of the OPEC Announcement on the Oil Companies' Share Prices},1730  journal = {Revista De Administração Da Ufsm},1731  year = {2021}1732}17331734@article{grossman1980impossibility,1735  title = {On the Impossibility of Informationally Efficient Markets},1736  author = {Grossman, Sanford J and Stiglitz, Joseph E},1737  journal = {American Economic Review},1738  volume = {70},1739  number = {3},1740  pages = {393--408},1741  year = {1980},1742  publisher = {JSTOR}1743}17441745@article{gu2018drives,1746  title = {What Drives Informed Trading Before Public Releases? 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Some {US} Evidence},2100  author = {Lucey, Brian M and Li, Sile},2101  journal = {Applied Economics Letters},2102  volume = {22},2103  number = {1},2104  pages = {35--45},2105  year = {2015},2106  publisher = {Taylor \& Francis}2107}21082109@article{masters2009testimony,2110  title = {Testimony Before the Commodity Futures Trading Commission},2111  author = {Masters, Michael W.},2112  journal = {Testimony to the Commodity Futures Trading Commission},2113  year = {2009}2114}21152116@misc{newey1986simple,2117  title = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix},2118  author = {Newey, Whitney K. and West, Kenneth D.},2119  year = {1986},2120  publisher = {National Bureau of Economic Research, Cambridge, MA, USA}2121}21222123@article{pal2023agricultural,2124  author = {Pal, Dipanwita},2125  title = {Do Agricultural Prices Respond to Interest on Reserves?},2126  journal = {The Economics and Finance Letters},2127  volume = {10},2128  number = {1},2129  pages = {94--101},2130  year = {2023},2131  doi = {10.18488/29.v10i1.3311}2132}21332134@article{park2019speculators,2135  author = {Park, Jinwook},2136  title = {Effect of Speculators’ Position Changes on the LME Futures Market},2137  journal = {International Journal of Financial Studies},2138  volume = {7},2139  number = {2},2140  pages = {32},2141  year = {2019},2142  doi = {10.3390/ijfs7020032}2143}21442145@article{pescatori2022opec,2146  author = {Pescatori, Andrea and Nazer, Yousef},2147  doi = {10.5089/9798400219788.001},2148  title = {OPEC and the Oil Market},2149  journal = {IMF Working Paper},2150  year = {2022}2151}21522153@book{pirrong2011commodity,2154  title = {Commodity Price Dynamics: A Structural Approach},2155  author = {Pirrong, Craig},2156  year = {2011},2157  publisher = {Cambridge University Press}2158}21592160@article{rakowski2021twitter,2161  title = {Twitter Activity, Investor Attention, and the Diffusion of Information},2162  author = {Rakowski, David and Shirley, Sara E and Stark, Jeffrey R},2163  journal = {Financial Management},2164  volume = {50},2165  number = {1},2166  pages = {3--46},2167  year = {2021},2168  publisher = {Wiley Online Library}2169}21702171@article{rlmishra2021financialization,2172  author = {Mishra, Ramesh and Mishra, Alok},2173  title = {Financialization of Indian Agricultural Commodities: The Case of Index Investments},2174  journal = {International Journal of Social Economics},2175  volume = {49},2176  number = {1},2177  pages = {73--96},2178  year = {2021},2179  doi = {10.1108/ijse-05-2021-0254}2180}21812182@article{sanders2016bubbles,2183  title = {Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets},2184  author = {Sanders, Dwight and Irwin, Scott},2185  journal = {Journal of Agricultural Economics},2186  volume = {68},2187  number = {2},2188  pages = {345--365},2189  year = {2016},2190  doi = {10.1111/1477-9552.12191}2191}21922193@article{scotti2016surprise,2194  title = {Surprise and Uncertainty Indexes: Real-Time Aggregation of Real-Activity Macro-Surprises},2195  journal = {Journal of Monetary Economics},2196  volume = {82},2197  pages = {1--19},2198  year = {2016},2199  issn = {0304-3932},2200  doi = {https://doi.org/10.1016/j.jmoneco.2016.06.002},2201  url = {https://www.sciencedirect.com/science/article/pii/S0304393216300320},2202  author = {Scotti, Chiara},2203  keywords = {Business cycle, Dynamic factor model, State space model, Forecasting weights},2204  abstract = {Two daily, real-time, real-activity indexes are constructed for the United States, euro area, United Kingdom, Canada, and Japan: (i) a surprise index summarizing recent economic data surprises and measuring optimism/pessimism about the state of the economy, and (ii) an uncertainty index measuring uncertainty related to the state of the economy. The surprise index parsimoniously preserves the properties of the underlying series when affecting asset prices. For the United States, the real-activity uncertainty index is compared to other uncertainty proxies to show that, when uncertainty is strictly related to real activity only, it has a potentially milder effect on economic activity.}2205}22062207@article{shanker2017new,2208  title = {New Indices of Adequate and Excess Speculation and Their Relationship with Volatility in the Crude Oil Futures Market},2209  author = {Shanker, Latha},2210  journal = {Journal of Commodity Markets},2211  volume = {5},2212  pages = {18--35},2213  year = {2017},2214  publisher = {Elsevier}2215}22162217@article{singleton2014investor,2218  author = {Singleton, Kenneth},2219  title = {Investor Flows and the 2008 Boom/Bust in Oil Prices},2220  journal = {Management Science},2221  volume = {60},2222  number = {2},2223  pages = {300--318},2224  year = {2014},2225  doi = {10.1287/mnsc.2013.1756}2226}22272228@article{soana2020index,2229  author = {Soana, Maria and Verga, Giovanna and Volpi, Maurizio},2230  title = {Did Index Trader and Swap Dealer Activity Produce a Bubble in the Agricultural Commodity Market?},2231  journal = {African Journal of Business Management},2232  volume = {14},2233  number = {1},2234  pages = {9--24},2235  year = {2020},2236  doi = {10.5897/ajbm2019.8877}2237}22382239@article{tang2012index,2240  title = {Index Investment and the Financialization of Commodities},2241  author = {Tang, Ke and Xiong, Wei},2242  journal = {Financial Analysts Journal},2243  volume = {68},2244  number = {6},2245  pages = {54--74},2246  year = {2012},2247  publisher = {Taylor \& Francis}2248}22492250@article{vivian2012commodity,2251  title = {Commodity Volatility Breaks},2252  author = {Vivian, Andrew and Wohar, Mark E.},2253  journal = {Journal of International Financial Markets, Institutions and Money},2254  volume = {22},2255  number = {2},2256  pages = {395--422},2257  year = {2012},2258  publisher = {Elsevier}2259}22602261@article{working1949theory,2262  title = {The Theory of Price of Storage},2263  author = {Working, Holbrook},2264  journal = {American Economic Review},2265  volume = {39},2266  number = {6},2267  pages = {1254--1262},2268  year = {1949},2269  publisher = {JSTOR}2270}22712272@article{working1960speculation,2273  title = {Speculation on Hedging Markets},2274  author = {Working, Holbrook},2275  journal = {Food Research Institute Studies},2276  volume = {1},2277  number = {2}, 2278  pages = {185--220},2279  year = {1960}2280}22812282@article{wu2019does,2283  title = {Does Gold or Bitcoin Hedge Economic Policy Uncertainty?},2284  author = {Wu, Shan and Tong, Mu and Yang, Zhongyi and Derbali, Abdelkader},2285  journal = {Finance Research Letters},2286  volume = {31},2287  pages = {171--178},2288  year = {2019},2289  publisher = {Elsevier}2290}22912292@article{yang2005futures,2293  title = {Futures Trading Activity and Commodity Cash Price Volatility},2294  author = {Yang, Jian and Balyeat, R. Brian and Leatham, David J.},2295  journal = {Journal of Business Finance \& Accounting},2296  volume = {32},2297  number = {1-2},2298  pages = {297--323},2299  year = {2005},2300  publisher = {Wiley Online Library}2301}23022303@article{ye2021macroeconomic,2304  title = {Macroeconomic Forecasts and Commodity Futures Volatility},2305  author = {Ye, Wuyi and Guo, Ranran and Deschamps, Bruno and Jiang, Ying and Liu, Xiaoquan},2306  journal = {Economic Modelling},2307  volume = {94},2308  pages = {981--994},2309  year = {2021},2310  publisher = {Elsevier}2311}23122313@article{zhang2018informed,2314  title = {Informed Options Trading Prior to Dividend Change Announcements},2315  author = {Zhang, Jun},2316  journal = {Financial Management},2317  volume = {47},2318  number = {1},2319  pages = {81--103},2320  year = {2018},2321  publisher = {Wiley Online Library}2322}23232324@article{zhang2022hedging,2325  author = {Zhang, Tao},2326  title = {Hedging Pressure and Liquidity Provision in Commodity Options Markets},2327  journal = {Journal of Futures Markets},2328  volume = {42},2329  number = {7},2330  pages = {1212--1233},2331  year = {2022},2332  doi = {10.1002/fut.22327}2333}23342335@article{zorn1983sovereignty,2336  author = {Zorn, Stephen A},2337  doi = {10.1111/j.1477-8947.1983.tb00276.x},2338  title = {Permanent Sovereignty Over Natural Resources},2339  journal = {Natural Resources Forum},2340  volume = {7},2341  number = {4},2342  pages = {321--328},2343  year = {1983}2344}2345@article{roll1984,2346  author = {Roll, R.},2347  title = {A Simple Implicit Measure of the Effective Bid-Ask Spread},2348  journal = {The Journal of Finance},2349  volume = {39},2350  number = {4},2351  pages = {1127--1139},2352  year = {1984},2353}235423552356@article{chordia2008liquidity,2357  author = {Chordia, T. and Roll, R. and Subrahmanyam, A.},2358  title = {Liquidity and market efficiency},2359  journal = {Journal of Financial Economics},2360  volume = {87},2361  number = {2},2362  pages = {249--268},2363  year = {2008},2364  issn = {0304-405X},2365  doi = {10.1016/j.jfineco.2007.03.005},2366  url = {https://www.sciencedirect.com/science/article/pii/S0304405X07001833},2367  keywords = {Liquidity, Market efficiency, Order flow},2368  abstract = {Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the tick size decreased, open-close/close-open return variance ratios increased, while return autocorrelations decreased. This suggests an increased incorporation of private information into prices during more liquid regimes.}2369}23702371@inproceedings{boons2014price,2372  author    = {Martijn Boons and Frans A. de Roon and Marta Szymanowska},2373  title     = {The Price of Commodity Risk in Stock and Futures Markets},2374  booktitle = {AFA 2012 Chicago Meetings Paper},2375  year      = {2014},2376  note      = {Available at SSRN: \url{https://ssrn.com/abstract=1785728} or \url{http://dx.doi.org/10.2139/ssrn.1785728}}23772378@article{da2024financialization,2379  title={Financialization and commodity markets serial dependence},2380  author={Da, Zhi and Tang, Ke and Tao, Yubo and Yang, Liyan},2381  journal={Management Science},2382  volume={70},2383  number={4},2384  pages={2122--2143},2385  year={2024},2386  publisher={INFORMS}2387}23882389@article{kang2023financialization,2390  title={Financialization of commodity markets ten years later},2391  author={Kang, Wenjin and Tang, Ke and Wang, Ningli},2392  journal={Journal of Commodity Markets},2393  volume={30},2394  pages={100313},2395  year={2023},2396  publisher={Elsevier}2397}23982399@article{ready2022order,2400  title={Order flows and financial investor impacts in commodity futures markets},2401  author={Ready, Mark J and Ready, Robert C},2402  journal={The Review of Financial Studies},2403  volume={35},2404  number={10},2405  pages={4712--4755},2406  year={2022},2407  publisher={Oxford University Press}2408}24092410@article{cheng2014financialization,2411  title={Financialization of commodity markets},2412  author={Cheng, Ing-Haw and Xiong, Wei},2413  journal={Annu. 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{A} test of the hypothesis of predetermined energy prices},2501  author={Kilian, Lutz and Vega, Clara},2502  journal={Review of Economics and Statistics},2503  volume={93},2504  number={2},2505  pages={660--671},2506  year={2011},2507  publisher={The MIT Press}2508}250925102511@article{kilian2014role,2512  title={The role of inventories and speculative trading in the global market for crude oil},2513  author={Kilian, Lutz and Murphy, Daniel P},2514  journal={Journal of Applied Econometrics},2515  volume={29},2516  number={3},2517  pages={454--478},2518  year={2014},2519  publisher={Wiley Online Library}2520}25212522@article{fattouh2013role,2523  title={The role of speculation in oil markets: What have we learned so far?},2524  author={Fattouh, Bassam and Kilian, Lutz and Mahadeva, Lavan},2525  journal={The Energy Journal},2526  volume={34},2527  number={3},2528  pages={7--33},2529  year={2013},2530  publisher={SAGE Publications Sage CA: Los Angeles, CA}2531}25322533@article{baumeister2014oil,2534  title={Do oil price increases cause higher food prices?},2535  author={Baumeister, Christiane and Kilian, Lutz},2536  journal={Economic Policy},2537  volume={29},2538  number={80},2539  pages={691--747},2540  year={2014},2541  publisher={Oxford University Press}2542}25432544@article{henderson2015new,2545  title={New evidence on the financialization of commodity markets},2546  author={Henderson, Brian J and Pearson, Neil D and Wang, Li},2547  journal={Review of Financial Studies},2548  volume={28},2549  number={5},2550  pages={1285--1311},2551  year={2015},2552  publisher={Oxford University Press}2553}25542555@article{domanski2007financial,2556  title={Financial investors and commodity markets},2557  author={Domanski, Dietrich and Heath, Alexandra},2558  journal={BIS Quarterly Review},2559  volume={3},2560  number={1},2561  pages={53--67},2562  year={2007}2563}25642565@article{newey1994automatic,2566  title={Automatic lag selection in covariance matrix estimation},2567  author={Newey, Whitney K and West, Kenneth D},2568  journal={Review of Economic Studies},2569  volume={61},2570  number={4},2571  pages={631--653},2572  year={1994},2573  publisher={Wiley-Blackwell}2574}25752576@article{ghysels2004midas,2577  title={The MIDAS touch: Mixed data sampling regression models},2578  author={Ghysels, Eric and Santa-Clara, Pedro and Valkanov, Rossen},2579  year={2004}2580}25812582@article{buyukcsahin2011speculators,2583  title={Do speculators drive crude oil futures prices?},2584  author={B{\"u}y{\"u}k{\c{s}}ahin, Bahattin and Harris, Jeffrey H},2585  journal={The Energy Journal},2586  volume={32},2587  number={2},2588  pages={167--202},2589  year={2011},2590  publisher={SAGE Publications Sage CA: Los Angeles, CA}2591}25922593@article{alquist2013role,2594  title={The role of financial speculation in driving the price of crude oil},2595  author={Alquist, Ron and Gervais, Olivier},2596  journal={The Energy Journal},2597  volume={34},2598  number={3},2599  pages={35--54},2600  year={2013},2601  publisher={SAGE Publications Sage CA: Los Angeles, CA}2602}