Detailed Program

 

 

A.1 Economics of Commodity Markets 
   
Date and Time: Friday, June 3, 2016 9:00 - 11:00
   
Room:  003
   
Session Chair:  Nicole Branger, University of Münster
   

Paper 1:

 

 

 

Welfare Cost of Oil Shocks
Steffen Hitzemann, Ohio State University
Amir Yaron, University of Pennsylvania
Discussant: Nicole Branger, University of Münster

Paper 2:

 

 

 

Monetary Policy, the Stock Market, and Commodity Returns: Time-Series Evidence
Andreas Neuhierl, University of Notre Dame
Michael Weber, University of Chicago
Discussant: Volker Seiler, University of Paderborn

Paper 3:

 

 

 

 

Commodities Storage and Economic Growth
Nicole Branger, University of Münster
Nikolai Gräber, University of Münster
Malte Schumacher, University of Münster
Discussant: Nikos K. Nomikos, City University London

Paper 4:

 

 

 

 

 

Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Ioannis C. Moutzouris, City University London
Nikos K. Nomikos, City University London
Discussant: Nikolai Gräber, University of Münster

 

 

   
   
   
 

 

 

B.1 Commodities and Sovereign Risk
   
Date and Time: Friday, June 3, 2016 9:00 - 11:00
   
Room:  142
   
Session Chair: Chardin Wese Simen, University of Reading
   

Paper 1:

 

 

 

Impact of Commodity Prices on High-yield Currencies: the Role of Financial Conditions
Alexandre Jeanneret, HEC Montréal
Michel Normandin, HEC Montréal
Discussant: Magali Dauvin, University of Paris Ouest

Paper 2:

 

 

 

Is sovereign default looming for oil exporting countries? The case of Russia and Venezuela
Thomas Chuffart, Aix-Marseille University
Emma Hooper, Aix-Marseille University
Discussant: Malte Rieth, German Institute for Economic Research (DIW Berlin)

Paper 3:

 

 

 

Output Value Risk for Commodity Producers: the Uncertain Benefits of Diversification
Nicolas Merener, Universidad Torcuato Di Tella
Maria Eugenia Steglich, Universidad Torcuato Di Tella
Discussant: Michel Normandin, HEC Montréal

Paper 4:

 

 

 

 

 

Sovereign spreads in emerging economies: do natural resources matter?
Magali Dauvin, University of Paris Ouest
Discussant: Graham Davis, Colorado School of Mines

 

 

 

   
   
   
   
C.1 Analysis of Electricity Markets
   
Date and Time: Friday, June 3, 2016 9:00 - 11:00
   
Room:  063
   
Session Chair: Stein-Erik Fleten, Norwegian University of Science and Technology
   

Paper 1:

 

 

 

 

Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Paolo Falbo, Universit a degli Studi di Brescia
Cristian Pelizzari, Universit a degli Studi di Brescia
Luca Taschini, London School of Economics and Political Science
Discussant: Murad Harasheh, University of Pavia

Paper 2:

 

 

An Extended Multi-Factor Structural Model for the Electricity Market
Thomas Wottka, RWE
Discussant: Ruolan Ouyang, University of Glasgow

Paper 3:

 

 

 

Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
Cord Harms, University Duisburg-Essen
Rüdiger Kiesel, University Duisburg-Essen
Discussant: Michael Coulon, University of Sussex

Paper 4:

 

 

 

 

 

Forecasting The Italian Wholesale Electricity Price Using Artificial Intelligence Models
Murad Harasheh, University of Pavia
Discussant: Marie Bessec, Université Paris Dauphine

 

 

 

   
   
   
   
A.2 Commodity Investing
   
Date and Time: Friday, June 3, 2016 14:00 - 15:30
   
Room:  003
   
Session Chair: Olaf Korn, Georg-August-Universität Göttingen
   

Paper 1:

 

 

 

 

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
Emmanuel Eyiah-Donkor, University College Dublin
John Cotter, University College Dublin
Valerio Potì, University College Dublin
Discussant: Pierre Six, Neoma Business School

Paper 2:

 

 

 

 

Maximum Diversification Strategies Along Commodity Risk Factors
Simone Bernardi, University of Zurich
Markus Leippold, University of Zurich
Harald Lohre, Invesco Ltd.
Discussant: Joerg Picard, Grand Valley State University

Paper 3:

 

 

 

Investing in commodity: why duplicating inventories?
Jung-Hyun Ahn, Neoma Business School
Pierre Six, Neoma Business School
Discussant: Harald Lohre, Invesco Ltd.
   
   
   
   
   
   
   
B.2 Precious Metals
   
Date and Time: Friday, June 3, 2016 14:00 - 15:30
   
Room:  142
   
Session Chair:  Sunil K. Mohanty, City University of New York
   

Paper 1:

 

 

 

Googling Gold and Mining Bad News
Dirk G. Baur, UWA Business School
Thomas Dimpfl, University of Tübingen
Discussant: Sunil K. Mohanty, City University of New York

Paper 2:

 

 

 

 

What Drives Asymmetric Dependence Structure of Gold and other Financial Asset Return
Comovements?

Anandadeep Mandal, University of Derby
Sunil Poshakwale, Cranfield University
Discussant: Gabriel J. Power, Université Laval

Paper 3:

 

 

 

 

 

 

A Study of Excess Volatility of Gold and Silver
Parthajit Kayal, Institute for Financial Management and Research
S. Maheswaran, Institute for Financial Management and Research
Discussant: Anandadeep Mandal, University of Derby

 

 

 

   
   
   
   
C.2 Optimal Decision Making in Commodity Markets
   
Date and Time: Friday, June 3, 2016 14:00 - 15:30
   
Room:  063
   
Session Chair:  Betty J. Simkins, Oklahoma State University
   

Paper 1:

 

 

 

 

 

A Structural Estimation Analysis of the Strategic Switching of Peak Generators
Stein-Erik Fleten, Norwegian University of Science and Technology
Marius Johansen, Norwegian University of Science and Technology
Alois Pichler, Norwegian University of Science and Technology
Carl J. Ullrich, James Madison University
Discussant: Thomas Wottka, RWE

Paper 2:

 

 

 

 

Commodity Resource Valuation And Extraction: A Pathwise Programming Approach
J. Hinz, University of Technology Sydney
T. Tarnopolskaya, Data 61, CSIRO
J. Yee, University of Technology Sydney
Discussant: Stein-Erik Fleten, Norwegian University of Science and Technology

Paper 3:

 

 

 

 

Stochastic Intraday Bidding Strategies for a Price-taker Pumped Hydroelectric Storage System
David P. Morton, Northwestern University
Ivilina Popova, Texas State University
Bismark Singh, The University of Texas at Austin
Discussant:  Florentina Paraschiv, University of St. Gallen
   
   
   
   
   
   
   
D.2 Volatility of Commodity Markets
   
Date and Time: Friday, June 3, 2016 14:00 - 15:30
   
Room:  112
   
Session Chair:  Malte Rieth, German Institute for Economic Research (DIW Berlin)
   

Paper 1:

 

 

 

 

Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH
Models

Thijs Benschop, Humboldt-Universität zu Berlin
Brenda López Cabrera, Humboldt-Universität zu Berlin
Discussant: Veronika Lunina, Lund University

Paper 2:

 

 

 

 

Volatility Forecasting: The Role of Internet Search Activity and Implied Volatility
Arabinda Basistha, West Virginia University
Alexander Kurov, West Virginia University
Marketa Halova Wolfe,
Skidmore College
Discussant: Neda Todorova, Griffith University

Paper 3:

 

 

 

 

 

 

 

 

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Rikard Green, Modity Energy Trading
Karl Larsson, Lund University
Veronika Lunina, Lund University
Birger Nilsson,
Lund University
Discussant: Lorenz Schneider, EMLYON Business School

 

 

 

   
   
   
   
A.3 Food Commodity Markets
   
Date and Time: Friday, June 3, 2016 16:00 - 17:30
   
Room:  003
   
Session Chair:  Michael Coulon, University of Sussex
   

Paper 1:

 

 

 

The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ)
Market

Michael Coulon
, University of Sussex
Discussant: Andreas Neuhierl, University of Notre Dame

Paper 2:

 

 

 

Did the Fertilizer Cartel Cause the Food Crisis?
Hinnerk Gnutzmann, Leibniz Universität Hannover
Piotr Śpiewanowski, Vistula University
Discussant: Nicolas Merener, Universidad Torcuato Di Tella

Paper 3:

 

 

 

 

An Analysis of the Fish Pool Market in the Context of Seasonality and Stochastic Convenience
Yield

Christian-Oliver Ewald, University of Glasgow
Ruolan Ouyang, University of Glasgow
Discussant: Emmanuel Eyiah-Donkor, University College Dublin
   
   
   
   
   
   
   
B.3 Oil Market 
   
Date and Time: Friday, June 3, 2016 16:00 - 17:30
   
Room:  142
   
Session Chair:  Vito Mollica, Macquarie Graduate School of Management
   

 

Paper 1:

 

 

 

The Dynamic Effects of Oil Market Shocks on Corporate Balance Sheets
Khalid El Fayoumi, German Institute for Economic Research (DIW Berlin)
Discussant: Christiane Baumeister, University of Notre Dame

Paper 2:

 

 

The normal backwardation of Keynes and Hicks in Crude Oil Futures
Ronald D. Ripple
, University of Tulsa
Discussant: Simon Spencer, University College Dublin

Paper 3:

 

 

Asymmetric Effects of Oil Shocks on Stock Market Returns in Saudi Arabia: Evidence from Industry Level Analysis
Sunil K. Mohanty, City University of New York
Joseph Onochie, City University of New York
Abdulrahman F. Alshehri, King Khalid University
Discussant: Khalid El Fayoumi, German Institute for Economic Research (DIW Berlin)

 

 

   
   
   
   
   
C.3 Commodity Options
   
Date and Time: Friday, June 3, 2016 16:00 - 17:30
   
Room:  063
   
Session Chair:  Volker Seiler, University of Paderborn
   

Paper 1:

 

 

 

Market Specific Seasonal Trading Behavior in NASDAQ OMX Electricity Options
Jussi Nikkinen, University of Vaasa
Timo Rothovius, University of Vaasa
Discussant: Cord Harms, University Duisburg-Essen

Paper 2:

 

 

 

Pricing of Asian options for affine Gaussian diffusions
Michael Herbener, University of Hamburg
Alexander Szimayer, University of Hamburg
Discussant: Thijs Benschop, Humboldt-Universität zu Berlin

Paper 3:

 

 

 

 

From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Lorenz Schneider, EMLYON Business School
Bertrand Tavin, EMLYON Business School
Discussant: Nicolas Legrand, INRA
   
   
   
   
   
   
D.3 Price Discovery in Commodity Markets
   
Date and Time: Friday, June 3, 2016 16:00 - 17:30
   
Room:  112
   
Session Chair:  Joëlle Miffre, EDHEC Business School
   

Paper 1:

 

 

High-Frequency Analysis of the Price Discovery of Gold
Joerg Picard, Grand Valley State University
Discussant: Alexander Kurov, West Virginia University

Paper 2:

 

 

 

Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Michael Hachula, German Institute for Economic Research (DIW Berlin)
Malte Rieth, German Institute for Economic Research (DIW Berlin)
Discussant: Thomas Chuffart, Aix-Marseille University

Paper 3:

 

 

 

 

Price discovery in agricultural commodity markets in the presence of futures speculation
Thomas Dimpfl, University of Tübingen
Michael Flad,
University of Applied Sciences Esslingen
Robert C. Jung, University of Hohenheim
Discussant: Scott C. Linn, University of Oklahoma

Paper 4:

 

 

 

 

Do WTO Rulings Really Matter? Evidence from the Rare Earth Elements Market
Juliane Proelss, Concordia University
Denis Schweizer, Concordia University
Volker Seiler,
University of Paderborn
Discussant: Craig Pirrong, University of Houston
   
   
   
   
   
   
   
A.4 Implied Information in Commodity Markets
   
Date and Time: Saturday, June 4, 2016 9:00 - 11:00
   
Room:  003
   
Session Chair:  Gabriel J. Power, Université Laval
   

Paper 1:

 

 

 

 

 

Using Equity, Index and Commodity Options to Obtain Forward-Looking Betas and Conditional-CAPM Expected Crude-Oil Spot Prices
Ehud I. Ronn, University of Texas at Austin
Christopher F. Baum, Boston College
Paola Zerilli, University of York
Discussant: Olaf Korn, Georg-August-Universität Göttingen

Paper 2:

 

 

 

 

Forward-Looking Risk Measures with an Application to Agricultural Commodity Markets
Bernhard Brümmer, Georg-August-Universität Göttingen
Olaf Korn, Georg-August-Universität Göttingen
Kristina Schlüßler, Georg-August-Universität Göttingen
Discussant: Timo Rothovius, University of Vaasa

Paper 3:

 

 

 

 

A General Approach to Recovering Market Expectations from Futures Prices With an
Application to Crude Oil

Christiane Baumeister, University of Notre Dame
Lutz Kilian, University of Michigan
Discussant: Michał Dzieliński, Stockholm Business School

Paper 4:

 

 

 

 

 

 

 

 

 

 

The Brent-WTI Oil Price Relationship under the Risk-Neutral Measure
Marie-Hélène Gagnon, Université Laval
Gabriel J. Power, Université Laval
Discussant:  Ronald D. Ripple, University of Tulsa

 

 

 

 

 

 

 

B.4 Microstructure of Commodity Markets
   
Date and Time: Saturday, June 4, 2016 9:00 - 11:00
   
Room:  142
   
Session Chair:  Nicolas Merener, Universidad Torcuato Di Tella
   

Paper 1:

 

 

Pro-competitive rationing in multi-unit auctions
Pär Holmberg, Research Institute of Industrial Economics in Stockholm
Discussant: Georgios Katsenos, Leibniz University Hannover

Paper 2:

 

 

 

 

 

Towards a New Fix: Assessing the new FIX regimes for metals trading
Angelo Aspris, University of Sydney
Sean Foley, University of Sydney
Fergus Gratton, University of Sydney
Peter O’Neill, University of New South Wales
Discussant: Pär Holmberg, Research Institute of Industrial Economics in Stockholm

Paper 3:

 

 

 

The volatility-volume relationship in the LME futures market for industrial metals
Neda Todorova, Griffith University
Adam E. Clements, Queensland University of Technology
Discussant: Parthajit Kayal, Institute for Financial Management and Research

Paper 4:

 

 

 

 

 

 

 

 

 

Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Alex Frino, Macquarie Graduate School of Management
Gbenga Ibikunle, University of Edinburgh
Vito Mollica, Macquarie Graduate School of Management
Tom Steffen, University of Edinburgh
Discussant: Sean Foley, University of Sydney

 

 

 

 

   
   
C.4 Econometric Analysis of Commodity Markets
   
Date and Time: Saturday, June 4, 2016 9:00 - 11:00
   
Room:  063
   
Session Chair:  Olvar Bergland, Norwegian University of Life Sciences
   

Paper 1:

 

 

 

 

 

Estimation and application of fully parametric multifactor quantile regression with dynamic
coefficients

Florentina Paraschiv, University of St. Gallen
Derek Bunn,
London Business School
Sjur Westgaard, Norwegian University of Science and Technology
Discussant: Robert C. Jung, University of Hohenheim

Paper 2:

 

 

 

Long Memory of Rare Earths Elements
Denis Schweizer, Concordia University
Volker Seiler, University of Paderborn
Discussant: Ivilina Popova, Texas State University

Paper 3:

 

 

 

Estimating the Competitive Storage Model with Trending Commodity Prices
Christophe Gouel, INRA
Nicolas Legrand, INRA
Discussant: Dirk G. Baur, UWA Business School

Paper 4: 

 

 

 

 

 

 

 

 

 

 

 

Modeling and Forecasting Daily Financial and Commodity Term Structures: A Unified Global
Approach

Shakill Hassan, South African Reserve Bank
Leonardo Morales-Arias, University of Kiel
Discussant: Stefan Trueck, Macquarie University

 

 

 

 

 

 

 

A.5 Financialization of Commodity Markets
   
Date and Time: Saturday, June 4, 2016 13:30-15:30
   
Room:  003
   
Session Chair:  Lazaros Symeonidis, University of East Anglia
   

Paper 1:

 

 

Commodity Market Financialization, Indexation, and Correlation
Craig Pirrong, University of Houston
Discussant: Ehud I. Ronn, University of Texas at Austin

Paper 2:

 

 

 

 

Commodities, Financialization, and Heterogeneous Agents
Nicole Branger, University of Muenster
Patrick Grüning, Vilnius University
Christian Schlag, Goethe University Frankfurt
Discussant: Luca Taschini, London School of Economics and Political Science

Paper 3:

 

 

 

New indices of adequate and excess speculation and their relationship with volatility in the crude oil futures market
Latha Shanker, Concordia University
Discussant: Vito Mollica, Macquarie Graduate School of Management

Paper 4:

 

 

 

 

 

 

 

 

 

 

Arbitrage and the Financial-Physical Nexus in Commodity Markets
Louis H. Ederington, University of Oklahoma
Chitru S. Fernando, University of Oklahoma
Kateryna V. Holland, Purdue University
Thomas K. Lee, U.S. Department of Energy
Scott C. Linn, University of Oklahoma
Discussant: Latha Shanker, Concordia University

 

 

 

 

   
   
B.5 Risk Premia in Commodity Markets
   
Date and Time: Saturday, June 4, 2016 13:30-15:30
   
Room:  142
   
Session Chair:  Nikos K. Nomikos, City University London
   

Paper 1:

 

 

 

 

 

The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Adrian Fernandez-Perez, Auckland University of Technology
Bart Frijns, Auckland University of Technology
Ana-Maria Fuertes, City University London
Joëlle Miffre, EDHEC Business School
Discussant: Evgenia Passari, Université Paris Dauphine

Paper 2:

 

 

 

Informational Frictions and Commodity Futures Risk Premia
Lisa Leinert, ETH Zurich
Michał Dzieliński, Stockholm Business School
Discussant: Steffen Hitzemann, Ohio State University

Paper 3:

 

 

 

 

Convenience Yield Risk Premium
Rangga Handika, Macquarie University
Olaf Korn, Georg-August-Universität Göttingen
Stefan Trueck, Macquarie University
Discussant: Joëlle Miffre, EDHEC Business School

Paper 4:

 

 

 

 

 

 

 

 

Commodity Currencies Revisited
Evgenia Passari, Université Paris Dauphine
Discussant: J. Yee, University of Technology Sydney

 

 

 

 

 

 

   
C.5 Hedging in Commodity Markets
   
Date and Time: Saturday, June 4, 2016 13:30-15:30
   
Room:  063
   
Session Chair:  Sjur Westgaard, Norwegian University of Science and Technology
   

Paper 1:

 

 

 

 

Hedger's Response to Price Changes in Energy Futures Markets
Marie Bessec
, Université Paris Dauphine
Yannick Le Pen, Université Paris Dauphine
Benoît Sévi, Université Grenoble Alpes
Discussant: Ryan Williams, University of Arizona

 

Paper 2:

 

 

 

 

Hedging Size Risk: Theory and Application to the US Gas Market
Andrea Roncoroni, ESSEC Business School
Rachid Id Brik, ESSEC Business School
Discussant: Leonardo Morales-Arias, University of Kiel

Paper 3:

 

 

 

 

 

Energy and Agricultural Commodities Revealed through Hedging Characteristics: Evidence from Developing and Mature Markets
Simon Spencer, University College Dublin
Don Bredin, University College Dublin
Thomas Conlon,
University College Dublin
Discussant: Hinnerk Gnutzmann, Leibniz Universität Hannover

 

Paper 4:

 

 

 

 

Risk Management with Supply Contracts
Heitor Almeida, University of Illinois
Kristine Watson Hankins, University of Kentucky
Ryan Williams, University of Arizona
Discussant: Michael Herbener, University of Hamburg

2017 COMMODITY MARKETS

WINTER WORKSHOP

 

Call for Papers

March 1-3, 2017

 Lillehammer, Norway

Submission deadline: November 30, 2016

 

 

CONTACT US

 

Prof. Dr. Marcel Prokopczuk, CFA

Leibniz University Hannover

Institute for Financial Markets

Königsworther Platz 1

30167 Hannover

 

 

 

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