Commodity markets through the business cycle

Incomplete Markets , Growth , and the Business Cycle

We introduce a Ramsey growth model with incomplete markets, decentralized production , and idiosyncratic technological risk. The combination of uninsurable shocks with the precautionary motive can slow down capital accumulation or give rise to persistent fluctuations even when agents are very patient and technology is strictly convex. The model generates closed-form expressions for the equilibr...

Energy Commodity Basis , Returns and the Business Cycle

This study examines the variation of spot and futures prices for energy commodities over the business cycle. The interest-adjusted basis and expected returns for crude oil, natural gas, heating oil, gasoline, and propane are estimated in relation to proxies for the state of the economy, inventory and other determinants predicted by the theory of storage over the period 1987-2011. We find that t...

Business Cycle Features In The Iranian Economy

Multiple Job Holding, Local Labor Markets, and the Business Cycle

Multiple Job Holding, Local Labor Markets, and the Business Cycle* About 5 percent of U.S. workers hold multiple jobs, which can exacerbate or mitigate employment changes over the business cycle. Theory is ambiguous and prior literature is not fully conclusive. We examine the relationship between multiple job holding and local unemployment rates using a large Current Population Survey data set ...

Correlations in Commodity Markets

In this paper we analyzed cross-correlations in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The tree provides evidence for sector clusterization of investigated contracts. We also studied dynamic properties of correlations. It turned out that the ma...