Production cuts to support oil prices

Most commodity quotations have continued to fall in recent months as a result of the weaker global economy. Crude oil prices, on the other hand, had been maintained at the high level targeted by OPEC since the start of the year, but lately they, too, have started to fall. Is the success of the oil exporters' change in production policy built to last?     

Tight supply keeps oil prices soaring

While there has been no further increase in the price of industrial commodities this year, oil prices recovered from a temporary decline to reach record levels. Does the oil producers' new-found unity mean a farewell to low oil prices?     

A maximal affine stochastic volatility model of oil prices

This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also identifiable. The model leads to quasi‐analytical formulas for futures and options prices. It allows for time‐varying correlation structures between the spot price and convenience yield, the spot price and its volatility, and the volatility and convenience yield. It allows for expected mean‐reversion in the short term and for an increasing expected long‐term price, and for time‐varying risk premia. Furthermore, the model allows for the situation in which options' prices depend on risk not fully spanned by futures prices. These properties are desirable and empirically important for modeling many commodities, especially crude oil. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:101–133, 2010     

Steep increase in oil prices as gulf crisis lingers on

Following a brief interruption, the recovery in world commodity prices witnessed during the first months of the year has continued. Crude oil prices reached their highest level for 16 months. The increase in prices for industrial raw materials that began early this year, however, came to a complete standstill. With the world economy recovering more slowly, can commodity prices be expected to fall again?     

An N‐factor Gaussian model of oil futures prices

This article studies the ability of an N‐factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation procedure that allows for a time‐dependent number of daily observations is used to calibrate the model. When applied to all daily oil futures price transactions from 1992 to 2001, the model performs very well, requiring at least three factors to explain the term structure of futures prices, but four factors to fit the volatility term structure. The model also performs very well for daily copper futures transactions from 1992 to 2001 and for out‐of‐sample daily oil futures transactions from 2002 to 2004. © 2006 Wiley Periodicals, Inc. Jrl Fut Mark 26:243–268, 2006     

The impact of crude oil inventory announcements on prices: Evidence from derivatives markets

This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Near‐the‐money options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storage‐related news variables.     

The relationship between spot and futures prices: Evidence from the crude oil market

This article examines the relationship between the spot and futures prices of WTI crude oil using a sample of daily data. Linear causality testing reveals that futures prices lead spot prices, but nonlinear causality testing reveals a bidirectional effect. This result suggests that both spot and futures markets react simultaneously to new information. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 175–193, 1999     

China Playing Important Role in Steadying World Economy,Zoellick Says

China is taking decisive action to help stabilize the world economy and is persisting with efforts to re-balance its economy towards greater domestic demand, said World Bank Group President Robert B. Zoellick.     

Crude oil prices and the balance of trade: Asymmetric evidence from selected OPEC member countries

The contribution of this article is to assess whether the effects of crude oil price fluctuations on the trade balance are symmetric or asymmetric in the context of an individual oil-exporting country, specifically four OPEC member countries – Iran, Nigeria, Saudi Arabia, and Venezuela. To examine this subject thoroughly, we use three different measures of trade balances such as oil trade balance, non-oil trade balance, and total trade balance, and examine whether oil prices are asymmetrically passed on to the trade balances for those OPEC countries in the long- and short-run. After implementation of the nonlinear autoregressive distributed lag (ARDL) model, we find that changes in oil prices indeed have asymmetric effects on the oil trade balance for all four OPEC countries in the long-run, though not in the short-run. In the case of the non-oil and total trade balance, however, the asymmetry of oil price changes is not detected in both the long- and short-run.     

Grain prices remain stable despite rising wheat prices

Chinese Vice Premier Hui Li- angyu on August 12 proposed stepping up agricultural cooperation with Africa.     

Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives—endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.     

Rising commodity prices

In the wake of faster economic growth and thus higher demand for commodities in the Western world, the upward trend of the prices for industrial raw materials continued during 1972, and indeed gathered speed, on world markets. The following contribution is an analysis of the development in the past year and attempts a preview for 1973.     

Reference distorted prices

I show that when consumers (mis)perceive prices relative to reference prices, budgets turn out to be soft, prices tend to be lower and the average quality of goods sold decreases. These observations provide explanations for decentralized purchase decisions, for people being happy with a purchase even when they have paid their “valuation”, and for why trade might affect high quality local firms “unfairly”.     

Density forecasts of crude‐oil prices using option‐implied and ARCH‐type models

The predictive accuracy of competing crude‐oil price forecast densities is investigated for the 1994–2006 period. Moving beyond standard ARCH type models that rely exclusively on past returns, we examine the benefits of utilizing the forward‐looking information that is embedded in the prices of derivative contracts. Risk‐neutral densities, obtained from panels of crude‐oil option prices, are adjusted to reflect real‐world risks using either a parametric or a non‐parametric calibration approach. The relative performance of the models is evaluated for the entire support of the density, as well as for regions and intervals that are of special interest for the economic agent. We find that non‐parametric adjustments of risk‐neutral density forecasts perform significantly better than their parametric counterparts. Goodness‐of‐fit tests and out‐of‐sample likelihood comparisons favor forecast densities obtained by option prices and non‐parametric calibration methods over those constructed using historical returns and simulated ARCH processes. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:727–754, 2011     

降价的思考

2004年是加入WT0后汽车领域过渡期的最后一年，由于一些政策需调整，加上汽车市场总体供求关系相对缓和，以及国产车快速发展以后与进口车互动互补关系的调整，今年的进口汽车市场将发生一些深层次的变化，而且变化之快超平一般人的想象。包括对进口车的重新市场定位，选型、定价、运作模式、经销体系、风险控制等方面，需要有适应市场变化和政策调整的新思路、新认识。过去许可证等因素是最重要