Broker-Dealer Risk Appetite and Commodity Returns

By Erkko M. Etula. 2013

185 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4bb03681be08401fb377fe23cad0086224c5f480

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. J. Wu
2. James D. Hamilton
3. Neil D. Pearson
4. Li Wang
5. Darrell Duffie
6. Brian J. Henderson
7. Lutz Kilian
8. Kenneth J. Singleton

In Finance

1. J. Wu
2. James D. Hamilton
3. Neil D. Pearson
4. Li Wang
5. Darrell Duffie
6. Brian J. Henderson
7. Francis A. Longstaff
8. Garland B. Durham

Citations in the corpus

• Investment Shocks and the Commodity Basis Spread (2011, unknown): “logXt+1 = logXt + gx + σxet+1, (20) logZj,t+1 = logZj,t + σzεj,t+1, (21) log Yt+1 = ρy log Yt + σyut+1.”
• Risk Premia in Crude Oil Futures Prices (2013, background): “We show that this interaction can produce an affine factor structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in which the duration of observed contracts changes with each observation.”
• Presidential Address: Asset Price Dynamics with Slow‐Moving Capital (2010, background): “Etula (2009) describes how variation over time in broker-dealer assets is significantly correlated with crude oil returns.”
• The Fundamentals of Commodity Futures Returns (2007, unknown): “, 2011), open-interest growth (Hong and Yogo, 2012), and measures of the default risk of speculators (Etula, 2010) and of producers (Acharya, Lochstoer, and Ramadorai, 2010).”
• U.S. Monetary Policy and the Global Financial Cycle (2020, unknown): “At the same time, the role of the U.S. as the hegemon of the international monetary system has largely remained unchanged, and has long outlived the end of Bretton Woods, as emphasized in e.g. Farhi and Maggiori (2018) and Gourinchas and Rey (2017).”
• The Role of Speculation in Oil Markets: What Have We Learned So Far? (2013, unknown): “Etula (2013) derives an asset pricing model in which the risk premium depends both on systematic and non-marketable risk with the latter increasing in the economy’s effective risk aversion.”
• Asset Price Dynamics with Slow-Moving Capital (2010, background): “Etula (2009) describes how variation over time in broker-dealer assets is significantly correlated with crude oil returns.”
• Risk Appetite and Exchange Rates (2010, unknown): “A similar logic is shown to hold in the commodities market by Etula (2009), who shows that U.S. broker-dealer balance sheets forecast commodity returns at quarterly horizons; broker-dealer risk appetite is re ected in the risk premia that speculators require for providing insurance to producers and…”