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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
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Organisation / Research unit |
Departement Wirtschaftswissenschaften / Finanzmarkttheorie (Zimmermann) |
Project start |
01.08.2016 |
Probable end |
01.08.2018 |
Status |
Completed |
Abstract |
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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20/04/2024
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