Testing the Masters Hypothesis in Commodity Futures Markets

By Scott H. Irwin, D. R. Sanders. 2012

312 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/178402b219d1f48baf79e5fbdf3aa3454c365acb

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Citations in the corpus

Effects of Index-Fund Investing on Commodity Futures Prices (2013, unknown): “†jhamilton@ucsd.edu ‡Cynthia.Wu@chicagobooth.edu 1 Electronic copy available at: http://ssrn.com/abstract=2321280”
The Financialization of Commodity Markets (2014, methodology): “On the other hand, the original methodology proposed by Masters (2008) appears at odds with the low-frequency “special call” data about CIT positions in all commodities (including non-agriculturals) the CFTC has gathered via survey (Irwin and Sanders, 2012).”
Assessing contagion risk from energy and non-energy commodity markets (2017, background): “E-mail address: b.algieri@unical.it (B. Algieri). highly debated question is whether fundamental factors related to supply and demand or new financial drivers dominate price formation and volatility in financialized commodity markets (Irwin and Sanders, 2012; Cheng and Xiong, 2014).”
Financialization and Structural Change in Commodity Futures Markets (2012, background): “This report comes in different formats that provide somewhat different views of the trader groups 8 See http://etfs.morningstar.com/quote?t5dba for full details. holding reportable positions within commodity futures markets (Irwin and Sanders, 2012).”
Investor Flows and the 2008 Boom/Bust in Oil Prices (2014, background): “16 If these are netted positions, the reported futures positions will understate actual levels of index investment (Irwin and Sanders 2012).”
On the links between stock and commodity markets' volatility (2013, background): “…references include Büyükşahin and Harris (2011), Büyükşahin et al. (2008), Capelle-Blancard and Coulibaly (2011), Du et al. (2011), Eckaus (2008), Irwin and Sanders (2012), Khan (2009), Manera et al. (2012), Masters and White (2009), Stout (2011), Valiante (2011), and Vivian and Wohar (2012).”
The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, background): “Third, the conventional economic argument for a positive relationship between oil prices and inventories after 2003 relies on a static model in which speculators exogenously drive the futures price above its equilibrium level, which all else equal encourages new production and discourages…”