Risk Premia in Crude Oil Futures Prices

By James D. Hamilton, J. Wu. 2013

336 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/08f03a5a4278003da52f58f010ea1912dea11a04

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. George Filis
2. Stavros Degiannakis *
3. Ioannis Chatziantoniou
4. Lutz Kilian
5. Nikolaos Antonakakis
6. D. Broadstock
7. Christiane Baumeister
8. Rustam Boldanov

In Finance

1. George Filis
2. Scott H. Irwin
3. D. R. Sanders
4. Stavros Degiannakis *
5. Rustam Boldanov
6. Lutz Kilian
7. B. Fattouh
8. Lavan Mahadeva

Citations in the corpus

• Effects of speculation and interest rates in a “carry trade” model of commodity prices (2013, neutral): “18 18 As noted, Hamilton and Wu (2013) and Hamilton (2013) suggest that the entry of financial investors into the futures market, via the intermediation of commodity funds, has provided a counterparty for producers wishing to hedge, so that the risk premium has fallen since 2005.”
• Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (2016, background): “In contrast, Figure 3 plots the corresponding financial market expectation of the price of oil obtained by subtracting from the current WTI futures price of maturity h the risk premium estimate for horizon h implied by the term structure model of Hamilton and Wu (2014).”
• Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “…due to the increased participation of hedge funds, has created an increased correlation between oil prices and stock returns (Fattouh et al., 2013; Hamilton and Wu, 2012; Tang and Xiong, 2012; Buyuksahin and Robe, 2011; Alquist and Kilian, 2010; Buyuksahin et al., 2010; Silvennoinen and Thorp,…”
• Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “…argument put forward by authors, such as Byuksahin et al. (2010), Silvennoinen and Thorp (2010), Tang and Xiong (2010), Byuksahin and Robe (2011), Hamilton and Wu (2012) and Sadorsky (2014), among others, that the speculation and the financialisation of the oil market resulted in an increased…”
• The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, background): “The idea of time-varying risk premia also plays a central role in recent work by Hamilton and Wu (2012b) who provide evidence of large shifts in the risk premium after 2005.”
• Financialization and Structural Change in Commodity Futures Markets (2012, background): “Hamilton and Yu (2011) present evidence that risk premiums in crude oil futures declined sharply after 2005, coinciding with the increasing participation of passive index investors in the market.”