Commodity financialization and sector ETFs: Evidence from crude oil futures

We investigate the diversification benefits of energy assets in the setting of commodity financialization using data on crude oil futures and Sector ETFs (SPDRs). Correlations between commodities and financial assets increased during the post-Commodity Futures Modernization Act (CFMA)/commodity bull cycle period, resulting in lower benefits of diversification. However, we find that conditional correlations between crude oil futures and sector ETFs meaningfully increased only since the 2008–09 financial crisis. The results therefore suggest that the financial crisis, rather than CFMA regulation, explains changes in the diversification benefits of commodities. Moreover, we find that oil futures returns are less correlated with SPDRs than with the S&P index. Thus, energy futures, and crude oil in particular, offer the potential for diversification benefits in sector-style investing.     

工资差异、劳动力流动与工业集聚——基于新经济地理学的解释和实证检验

初始工资、运输成本和外部规模经济是劳动力空间流动和经济区域集聚的重要驱动力量。通过1980—2007年29个省市的面板数据实证研究证实了工资差异对经济集聚的影响,东部沿海地区的工资增加对经济集聚的作用显著,而内陆地区工资变动的集聚效应尚不明显。因此工资增加对沿海地区的集聚效应是有效率的,对内陆地区的集聚效应是非效率的,内陆地区的经济集聚受到开放程度、城市化水平等多种因素的制约。     

人力资本的使用价值研究

人力资本,归其本质,它是一种商品。使用价值是商品必须具有的因素之一。人力资本的使用价值是生产剩余价值。人力资本必须能够生产剩余价值,才能获得社会的认可和企业的雇佣,实现自身的价值。     

论专业市场对产业集群的带动和提升——基于浙江省义乌市的调查与分析

专业市场和产业集群是中国改革开放以来产生的两种重要制度创新。研究二者互动的内在机理,对进一步发挥各自在推动区域经济发展中的作用很有意义。文章以浙江省义乌市小商品市场以及相关产业为例,结合问卷调查与实地调研所得,研究专业市场如何带动、提升地方产业集群发展。作者认为,专业市场对地方产业集群的带动、提升作用与其本身的性质有着显著关系,并且得到了实证研究的支持。     

Catching the curl: Wavelet thresholding improves forward curve modelling

Modelling futures term structures (price forward curves) is essential for commodity-related investments, portfolios, risk management, and capital budgeting decisions. This paper uses a novel strategy, wavelet thresholding, to de-noise futures price data prior to estimation in a state-space framework in order to improve model fit and prediction. Rather than de-noise the raw data, this method de-noises only wavelet coefficients linked to specific timescales, minimizing the amount of information that is accidentally removed. Our findings are that, for the first five futures maturities in our sample data, in-sample (tracking) and 5-day-ahead out-of-sample (forecasting) Root Mean Squared Errors (RMSEs) are smaller both (i) when we increase the number of factors from one to four, and (ii) when we de-noise the data using wavelet thresholding. The improvement due to wavelet thresholding is often greater than the improvement from adding one more factor to the model, which is important because going beyond four factors does not improve model fit. Wavelet-based de-noising thus has the potential to improve considerably the estimation of various economic time series models, helping practitioners and policymakers with better forecasting and risk management.     

Should a central bank react to food inflation? Evidence from an estimated model for Chile

We examine whether food price shocks are a major source of macroeconomic fluctuations. We estimate a small open economy DSGE model using an alternative Taylor rule applied to Chilean data. The empirical evidence suggests that food inflation played a non-trivial role in shaping Chile's de facto monetary policy actions. Consistent with its commitment to price stability, the central bank increases the policy rate in reaction to food inflation. Despite an immediate monetary policy reaction to a food price shock, the policy rate gradually tapers off. This is due to a second-round effect on non-food inflation propagated by the food price shock. A main finding is that monetary policy that targets headline inflation is welfare improving.     

建立进出口商品碳核查技术体系的前景分析

介绍了目前国内碳排放交易及碳核查市场的试行规则,初步探讨了对进出口商品进行碳核查的可能性以及检验检疫技术机构适时介入碳交易活动的机遇。     

Industrialization and the demand for mineral commodities

This paper uses a new data set that begins in 1840 to investigate how industrialization affects the derived demand for mineral commodities. I establish that there is substantial heterogeneity in the long-run effect of manufacturing output on demand across five commodities. A one percent increase in per capita manufacturing output leads to an approximately 1.5 percent increase in aluminum demand and a roughly 1 percent rise in copper demand. Estimated elasticities for lead, tin, and zinc are below unity. My results suggest that the experience of Japan and South Korea’s industrialization, for example, may be used to infer the impact of China’s industrialization on future demand for metals. The results imply substantial differences across commodities with regard to future demand. Adjustment to equilibrium takes 7–13 years, which helps explain the long duration of commodity price fluctuations.     

Investigating the leverage effect in commodity markets with a recursive estimation approach

This paper investigates the presence of the leverage effect in commodities, in comparison with financial markets. The EGARCH model with a Mixture of Normals distribution (EGARCH-MN) is used to capture (i) heavy tails and skewness in the conditional returns, and (ii) leverage effects and time-varying long-term component in the volatility specification. Besides, the estimation strategy relies on an innovative recursive (REC) method, which allows disentangling the leverage effect from the unconditional skewness as an empirical result. When applied to a broadly diversified dataset of assets during 1995–2012, the EGARCH-MN models offers state-of-the-art specifications with leverage and fat-tailed skewed densities, that allow to contrast the specific characteristics of commodities with traditional assets (equities, bonds, FX).     

What does futures market interest tell us about the macroeconomy and asset prices?

Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices. Movements in commodity market interest predict commodity returns, bond returns, and movements in the short rate even after controlling for other known predictors. To a lesser degree, movements in open interest predict returns in currency, bond, and stock markets.