The Experts below are selected from a list of 174 Experts worldwide ranked by ideXlab platform
Huiying Shang - One of the best experts on this subject based on the ideXlab platform.
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An Empirical Study on Industrial Selection for ODI of Bulk Commodities in the Internet World
2010 International Conference on Internet Technology and Applications, 2010Co-Authors: Juanjuan Ding, Huiying ShangAbstract:The cost savings in the internet world will contribute to the growth of outward direct investment (ODI) of Bulk Commodities. According to the AHP model, this paper took agricultural products as an example, and conducted an empirical study on industrial selection for China's ODI of Bulk Commodities with combination of qualitative and quantitative methods. Studies have shown that the ODI indexes of cotton industry, soybean industry and oil industry are the highest among agricultural industries and even much higher than others. So these three industries should be the leading industries of ODI in the future in order to stimulate rational ODI development of whole agricultural products.
Chuanguo Zhang - One of the best experts on this subject based on the ideXlab platform.
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dynamic jumps in global oil price and its impacts on china s Bulk Commodities
Energy Economics, 2018Co-Authors: Chuanguo Zhang, Danlin YuAbstract:This paper investigated the impacts of oil price shocks, especially dynamic jumps in its returns on China's Bulk commodity markets at both the aggregate and industry levels. After setting a zero lower bound to the jump intensity of the ARJI model, we found that dynamic jumps exist in oil price movements. Moreover, under shocks of oil price jumps, not only the returns but also the risks of China's Bulk commodity markets are affected significantly, and the reactions of risks are characterized by “overreactions”. Meanwhile, by decomposing oil price shocks into expected positive (negative), and unexpected positive (negative) components, we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels, while those of the expected shocks are negative and insignificantly asymmetric at the industry level. In addition, the volatility clustering of all price movements and the permanent volatility effects on China's Bulk Commodities are also authenticated by applying the GARCH family models.
Jason West - One of the best experts on this subject based on the ideXlab platform.
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2011-02: A Note on the Presence of Inconvenience Yields in Bulk Commodity Markets (Working paper)
2020Co-Authors: Jason WestAbstract:The presence of a st rong contango in the term structure for thermal coal implies a h ighly negative convenience yield. This paper examines the conditions that lead to negative convenience yields for Bulk Commodities. We show that convenience yields for Bulk Commodities are dominated by the effect of oversupply rather than the combined effect of increases in inventory costs and decreases in the volatility of the underlying cash commodity. Producers clearly prefer to stockpile the commodity rather than adjust production in response to a contraction in demand. The data also reveals the inverse relationship between convenience yields and inventory levels is more significant when convenience yields are negative and deferred forward contracts are less volatile than near maturity contracts. We also demonstrate that the effect of convenience yield monotonically diminishes with maturity.
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convenience yields in Bulk Commodities the case of thermal coal
The International Journal of Business and Finance Research, 2012Co-Authors: Jason WestAbstract:This study advances the research on the convenience yield of Bulk Commodities with particular emphasis on thermal coal. We extend the option model of Milonas and Thomadakis (1997) to estimate thermal coal convenience yields using forward prices. We examine the business cycle of thermal coal in the presence of both demand and supply shocks and find that the convenience yield for thermal coal exhibits seasonal behavior. Convenience yields are negatively related to the inventory level of thermal coal despite the inventory not being co-located at the point of consumption while convenience yields are positively related to interest rates due to the business cycle. Our estimates of convenience yields for a Bulk commodity such as thermal coal is consistent with results for other Commodities such as base metals and oil where spot prices are more volatile than forward prices at low inventory levels. The result implies that the costs of storage are generally less than the operating costs associated with changes to production capacity so thermal coal producers prefer to stockpile the commodity rather than adjust production in response to changes in demand.
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A Note on the Presence of Inconvenience Yields in Bulk Commodity Markets
2011Co-Authors: Jason WestAbstract:The presence of a st rong contango in the term structure for thermal coal implies a h ighly negative convenience yield. This paper examines the conditions that lead to negative convenience yields for Bulk Commodities. We show that convenience yields for Bulk Commodities are dominated by the effect of oversupply rather than the combined effect of increases in inventory costs and decreases in the volatility of the underlying cash commodity. Producers clearly prefer to stockpile the commodity rather than adjust production in response to a contraction in demand. The data also reveals the inverse relationship between convenience yields and inventory levels is more significant when convenience yields are negative and deferred forward contracts are less volatile than near maturity contracts. We also demonstrate that the effect of convenience yield monotonically diminishes with maturity. JEL Classification: C53, G14, Q41
Danlin Yu - One of the best experts on this subject based on the ideXlab platform.
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dynamic jumps in global oil price and its impacts on china s Bulk Commodities
Energy Economics, 2018Co-Authors: Chuanguo Zhang, Danlin YuAbstract:This paper investigated the impacts of oil price shocks, especially dynamic jumps in its returns on China's Bulk commodity markets at both the aggregate and industry levels. After setting a zero lower bound to the jump intensity of the ARJI model, we found that dynamic jumps exist in oil price movements. Moreover, under shocks of oil price jumps, not only the returns but also the risks of China's Bulk commodity markets are affected significantly, and the reactions of risks are characterized by “overreactions”. Meanwhile, by decomposing oil price shocks into expected positive (negative), and unexpected positive (negative) components, we discovered that the impacts of unexpected shocks are positive and significantly asymmetric at both levels, while those of the expected shocks are negative and insignificantly asymmetric at the industry level. In addition, the volatility clustering of all price movements and the permanent volatility effects on China's Bulk Commodities are also authenticated by applying the GARCH family models.
Juanjuan Ding - One of the best experts on this subject based on the ideXlab platform.
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An Empirical Study on Industrial Selection for ODI of Bulk Commodities in the Internet World
2010 International Conference on Internet Technology and Applications, 2010Co-Authors: Juanjuan Ding, Huiying ShangAbstract:The cost savings in the internet world will contribute to the growth of outward direct investment (ODI) of Bulk Commodities. According to the AHP model, this paper took agricultural products as an example, and conducted an empirical study on industrial selection for China's ODI of Bulk Commodities with combination of qualitative and quantitative methods. Studies have shown that the ODI indexes of cotton industry, soybean industry and oil industry are the highest among agricultural industries and even much higher than others. So these three industries should be the leading industries of ODI in the future in order to stimulate rational ODI development of whole agricultural products.
