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29 de abril 2015
Strict Concavity of the Value Function for a Family of Dynamic Accumulation Models

We prove strict concavity of the value function for liquidity constrained dynamic accumulation models without adopting at least one of the following restrictive assumptions: zero response of productive effort, bounded marginal value of accumulated balances, or strictly convex cost of holding accumulated balances. Thus we extend well known theoretical results to more general models of […]

14 de abril 2015
Forward Trading in Exhaustible-Resource Oligopoly

We analyze oligopolistic exhaustible-resource depletion when firms can trade forward contracts on deliveries – a market structure relevant for some resource markets (e.g., storable pollution permits, hydro-based power pools) – and find that trading forwards can have substantial implications for resource depletion. We show that when firms’ initial resource-stocks are the same, the subgame-perfect equilibrium […]

13 de abril 2015
Short-Horizon Return Predictability and Oil Prices

This paper shows that oil price changes, measured as short-term futures returns, are a strong predictor of excess stock returns at short horizons. Ours is a leading variable for the business cycle and exhibits low persistence which avoids the fictitious long-horizon predictability associated with other predictors used in the literature. We compare our variable with […]

13 de abril 2015
Bubble Troubles? Rational Storage, Mean Reversion and Runs in Commodity Prices

High and volatile prices of major commodities have generated a wide array of analyses and policy prescriptions, including influential studies identifying price bubbles in periods of high volatility. Here we consider a model of the market for a storable commodity in which price expectations are unbounded. We derive its implications for price time series and […]

07 de abril 2015
Structural Breaks and Long-run Trends in Commodity Prices

The oil shocks of the 1970s, which quadrupled the price of petroleum, marked the end of an abnormal period of price stability and renewed interest in predicting the evolution of commodity prices. But most subsequent studies have focused on the short-run effects of price fluctuations, mainly because they greatly affect the foreign trade of developing […]

31 de marzo 2015
The Economic Impact of Oil on Industry Portfolios

We build an equilibrium model to disentangle industry-specific from business cycle effects of oil on stock returns. In our model oil is considered as an input factor for production and also as a macro variable. We estimate the model for 13 industries, including the oil industry. Our results suggest that the value of all non-oil […]

31 de marzo 2015
Maximal Gaussian Affine Models for Multiple Commodities: A Note

This paper extends the maximal affine models of single assets to a multi-commodity setup. We show that the correlated version of maximal affine models for a single commodity is no longer maximal for multiple commodities. In the maximal model, the convenience yield of a certain commodity could depend on the prices of other commodities, which […]