Commodity futurues price volatility: Evidence from intraday data in the 19th century
Project funded by own resources
Project title Commodity futurues price volatility: Evidence from intraday data in the 19th century
Principal Investigator(s) Haase, Marco
Huss, Matthias
Organisation / Research unit Departement Wirtschaftswissenschaften / Finanzmarkttheorie (Zimmermann)
Project start 01.08.2016
Probable end 01.08.2018
Status Completed

The empirical research studying the volatility of commodity futures markets has grown signifi-
cantly in the past decade, partly because of the public concern about potentially destabilizing ef-
fects of financial investments which have grown considerably since the turn of the century. Among
these investments, commodity-index related instruments are blamed as major drivers of prices and
volatilities, which seem to covary more and more with the prices and volatilities of financial assets
in recent times than with the “real” economic fundamentals. However, little is known about the
anatomy of commodity volatilities in the very long run. This limitation makes it difficult to assess
how unique some of the recent “abnormal” observations actually are against the background of the
history of these markets.

Our major goal in this project is to set up a database that allows to analyze commodity price vola-
tility, and its dynamics in a truly historical context. Specifically, we will set up a completely unex-
plored, proprietary dataset of daily spot and futures prices, covering three maturities, in the time
period 1877 to 1921. For comparison, the database of the National Bureau of Economic Research
(NBER), which is the basis for a majority of earlier studies contains spot prices only, for a range
of selected commodities on a monthly and averaged basis.

Financed by University funds

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