The Economics of Commodity Markets

List of Tables

1.1     Descriptive statistics on commodity, stock, currencies and rates

1.2     Average difference between the 3, 6 and 9 month futures and the spot price of commodities expressed as percentages of the spot price

1.3     Correlation between rolling 6-month returns and the 3 to 9 month slopes

1.4     Regression results of the 1-week to 6-month returns over the slopes of the future curve

1.5     Autocorrelation coefficient over various assets from 1995 to 2012

1.6     Annualized expectations and volatilities across regimes

1.7     Transition matrices

1.8     Average Sharpe ratios by asset class

1.9     Returns on the time series momentum strategy of Moskowitz et al. (2012) across assets

1.10    Returns on the breakout strategy

1.11    OLS regressions of the Sharpe ratio from the time series momentum strategy on explanatory factors

1.12    EGARCH-MN parameters estimated

1.13    Summary statistics from Laurent et al.’s (2011) jump estimation method

1.14    Returns (in %) realized on common jump days on commodity indices, S&P 500, US Dollar and US 10Y rate

2.1     Correlation between commodities 1995–2012 – Part 1

2.2     Correlation between commodities 1995–2012 – Part 2

2.3     Correlation between commodities and other markets – Part 1

2.4     Correlation between commodities and other markets – Part 2

2.5     Composition and summary statistics of the global macro hedge fund dataset. Range: January 19 1994 to 24 August 2012

2.6     Explanatory power of the first factor ...