4 Works

A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

Christiane Baumeister & Lutz Kilian
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Although this expectation in principle may be recovered by adjusting the futures price by the estimated risk premium, a common problem is that there are as many measures of the market expectation...

Global Macro Risks in Currency Excess Returns

Kimberly A. Berg & Nelson C. Mark
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap—our measure of global macroeconomic uncertainty—is a factor that is robustly priced in currency excess returns. A widening of the HML gap signifies increasing divergence, disparity and inequality of economic performance across countries.

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Christiane Baumeister, Reinhard Ellwanger & Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view. We utilize a recently proposed methodology to estimate the market’s expectations of the prices of ethanol, unfinished motor gasoline and crude oil...

Is the Discretionary Income Effect of Oil Price Shocks a Hoax?

Christiane Baumeister, Lutz Kilian & Xiaoqing Zhou
The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect...

Registration Year

  • 2021
    4

Resource Types

  • Text
    4

Affiliations

  • University of Notre Dame
    4
  • Bank of Canada
    3
  • University of Michigan–Ann Arbor
    2
  • Centre for Economic Policy Research
    1
  • Michigan State University
    1