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The synchronized and long-lasting structural change on commodity markets: evidence from high frequency data

Abstract

This paper analyses the intraday co-movements between returns on several  commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute,  (iii) 10-second, and (iv) 1-second frequencies. Using this database, we document a synchronized structural break, characterized by a departure from zero, which starts in the course of 2008 and continues thereafter. This is consistent with the idea that recent financial innovations on commodity futures exchanges, in particular the high frequency trading activities and algorithm strategies have an impact on these correlations.

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Globally Distributed Production and the Pricing of CME Commodity Futures

Abstract
I investigate how local supply shocks in the globally distributed production of commodities are incorporated into CME futures prices. I exploit that the soybean market share of the US (Argentina) decreased (increased) between 1996 and 2010, and use rain as source of supply shocks. I find that the response of CME soybean prices to daily rain in each region, and across time, was generally negative and close to linear in the local share of global output (R^2>0.88). CME traders seem to aggregate supply regardless of its geographical origin, therefore being increasingly sensitive to shocks outside of the US.

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Link al site del autor.

A dynamic default correlation model (2008)

We develop a dynamic model of default that matches single-name CDS spreads by construction and can be calibrated to standard CDO tranche spreads. We assume that single-name default intensities have a one-factor structure with an unobservable systematic factor. Our model formalizes an intuitive idea: while the current level of spreads is determined by the distribution of default times, spread volatility is determined by the process of resolution of uncertainty about default times. We model resolution of uncertainty as learning about the unobservable systematic factor. Our model is computationally tractable and has the appealing property that the learning process can be specified to match empirically observed spread volatility with no affect on the model-implied spread levels

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Commodity Futures and Inflation (2008)

In this paper, we present some empirical evidence on the connection between commodities and inflation. Using historical prices on twenty commodity futures covering a period from 1988 to early 2008, we estimate correlations between futures returns and several inflation measures. We find that most commodity futures exhibit very weak correlation with several core inflation measures. Energy commodities have somewhat higher correlation with the total Consumer Price Index (CPI), which is due to the effect of volatile energy prices on the CPI level. We conclude that the average correlation between various commodities and overall price inflation is very low.

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Estos papers fueron escritos por Leonid Kogan de MIT

Las exportaciones agrícolas caerían unos US$6,000 millones respecto a 2011

Recientemente las proyecciones han sido revisadas a la baja a partir del agravamiento de las condiciones climáticas, en parte asociadas al fenómeno “la niña”. A pesar de ello, las nuevas cifras que se esperan para 2012 distan por mucho de acercarse a la “gran sequía” de 2009, cuando la cosecha total rondó las 60 millones de toneladas. Actualmente las previsiones para la cosecha 2012 rondan las 95 millones de toneladas, cuando hace tan solo unos meses los más optimistas ubicaban sus pronósticos en torno a las 110 millones de toneladas para el año en curso.

Así mismo, si bien los precios internacionales de los principales cultivos durante 2012 tenderán a ubicarse en promedio por debajo de los precios de 2011, todavía se ubican en niveles relativamente elevados. Tomando el caso de la soja, si bien su precio internacional rondó los 500 dólares por tonelada durante 2011, y se espera que ronde los 430 dólares durante 2012, lo que implicaría una caída promedio en torno a 15%, todavía se ubicaría entre los promedios del año 2008 (455 dólares) y 2010 (400 dólares) y muy por encima, por ejemplo, del año 2007 (320 dólares) o 2006 (235 dólares).

En síntesis, una caída en los precios internacionales en torno a 15% en promedio y en los volúmenes totales de cosecha en torno a 5% en promedio representaría, respecto a los registros de 2011, una merma en las exportaciones agrícolas en torno a casi US$ 6,000 millones anuales (y en las retenciones en torno a US$ 1,500 millones anuales). Cabe recordar que las exportaciones agrícolas durante la “gran sequía” de 2009 cayeron unos US$ 8,000 millones anuales respecto al año 2008. Es decir, la caída de las exportaciones agrícolas en 2012, medida en millones de dólares

How many commodity sectors are there, and how do they behave?

Abstract: 
We find evidence for five commodity sectors that naturally conform to the standard functional categorizations typically used by the investment industry (industrial metals, energy, precious metals, grains & oilseeds, and livestock). Of the typical investment industry categorizations, only softs do not share a common factor. Using spot data to extend the history of commodity futures, we examine the performance of commodity sectors during periods of economic interest to investors and find 1) The industrial metals sector is very sensitive to economic conditions, while the grains & oilseed sector is insensitive. 2) Energy and precious metals are the sectors that earn the highest returns during periods of high and unexpectedly high inflation. 3) Precious metals do not do well when economic conditions are poor and do not outperform the typical commodity during those periods. 4) We show that commodities in general, and all commodity sectors, earn positive returns during US Dollar crashes.

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Debido a las restricciones impuesta sobre el mercado cambiario, sacamos a relucir nuestros dotes actorales por cualquier eventual cambio de profesión. Como dos experimentados actores Ivan y Juan Manuel, le explican a Gaston que es el mercado de Commodities (desde la macro hasta el mercado).

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