A popular view is that the unprecedented surge in the spot price of oil during 2003–08 cannot be explained by changes in economic fundamentals, but was driven by the increased financialisation of oil futures markets.1 It is well documented that, starting in 2003, there was an influx of financial investors such as index funds into oil futures markets.
Speculation in oil markets? What have we learned?
Lutz Kilian, 21 April 2012
Limits to currency momentum trading
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf, 31 March 2012
Momentum trading, ie buying past winners and selling past losers, is a very popular trading strategy in many assets. In foreign exchange high returns to momentum trading have been documented since the 1970s and have fuelled concerns about destabilising speculation.
The role of speculation in oil markets: What have we learned so far?
Lutz Kilian, Bassam Fattouh, Lavan Mahadeva, 26 March 2012
Vox readers can download CEPR Discussion Paper 8916 for free here.
The risk in carry trades
Lukas Menkhoff, Lucio Sarno, Maik Schmeling, Andreas Schrimpf, 23 March 2011
The “carry trade” is the most popular trading strategy in currency markets. Traders borrow in currencies with low interest rates (negative forward premium) and invest in currencies with high interest rates (positive forward premium), profiting from the margin. Yet according to the uncovered interest parity this strategy should not work.
Carry on speculating on the volatility of foreign exchange
Pasquale Della Corte, Lucio Sarno, Ilias Tsiakas, 26 January 2011
The standard “carry trade” is a popular currency speculation strategy that invests in high-interest currencies by borrowing in low-interest currencies. This strategy works well if, for example, spot exchange rates are unpredictable.
What’s causing global food price inflation?
Stefan Tangermann, 22 July 2008
Global food prices have exploded since early 2007, causing major social, political, and macroeconomic disruption in many poor countries and adding to inflationary pressure in the richer parts of the world.1 Concerns about high food prices have been expressed at the highest political level, including during the recent G8 summit on Hokkaido.
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Reichlin, Baldwin, 14 April 2013