Seminar: Topics in Economics (Bachelor), winter term 2022/2023

Empirical analysis of commodity futures markets

The seminar starts with a lecture dealing with a thematic introduction to commodity futures markets. Furthermore, basic techniques of scientific and empirical work using the software R will be explained. During the course, participants will empirically answer a their choosen research question using OLS regression. The supervisors will provide the data necessary for the empirical analysis, and the analysis will be done in close cooperation with the supervisors. Students may base their analysis on agricultural commodities, precious metals, or energy commodities. The results of this empirical analysis are then summarized in a 15-page seminar paper and presented on the seminar day.

Students can choose from the following eleven topics:

Topic

Supervisor

Literature

Does Speculation drive commodity futures prices?

Alexander Pütz

Manera, M., Nicolini, M. & Vignati, I. (2016), Modelling futures price volatility in energy markets: Is there a role for financial speculation?, Energy Economics, Vol. 53, pp. 220-229.

How does Speculation affect liquidity in commodity futures markets?

Fiona Höllmann

Ludwig, M. (2019), Speculation and its impact on liquidity in commodity markets, Resources Policy, Vol. 61, pp. 532-547.

Do Speculators withdraw liquidity from the market, or do speculators provide liquidity to the markets?

Elissa Iorgulescu

Kang, W., Rouwenhorst, K.G. & Tang, K. (2020), A tale of two premiums: The role of hedgers and speculators in commodity futures markets, The Journal of Finance, Vol. 75 (1), pp. 377-417.

Theory of Normal Backwardation

Fiona Höllmann

Rouwenhorst, K. G., & Tang, K. (2012), Commodity investing, Annual Review of Financial Economics, Vol. 4 (1), pp. 447-467.

Can trader positions be predicted from returns in commodity futures markets (momentum trading in commodity futures markets)?

Elissa Iorgulescu

Sanders, D. R., Boris, K., & Manfredo, M. (2004), Hedgers, funds, and small speculators in the energy futures markets: an analysis of the CFTC's Commitments of Traders reports, Energy Economics, Vol. 26 (3), pp. 425-445.

How do selected macroeconomic variables affect price developments in commodity futures markets?

Fiona Höllmann

Manera, M., Nicolini, M. & Vignati, I. (2016), Modelling futures price volatility in energy markets: Is there a role for financial speculation?, Energy Economics, Vol. 53, pp. 220-229.

An insight into the historical origins of agricultural commodity futures markets

Elissa Iorgulescu

Iorgulescu, Elissa Ana Maria and Pütz, Alexander and Siklos, Pierre L. (2022), Grain Futures Trading During the Interwar Period: Introducing a New Dataset and Evidence. Working Paper. Available at SSRN: https://ssrn.com/abstract=4000689.

Hedging Pressure Theory

Alexander Pütz

De Roon, F. A., Nijman, T. E., & Veld, C. (2000), Hedging pressure effects in futures markets. The Journal of Finance, Vol. 55(3), pp. 1437-1456.

How does financial market sentiment affect speculator behaviour in commodity futures markets?

Elissa Iorgulescu

Garcia, D. (2013), Sentiment during recessions. The Journal of Finance, Vol. 68 (3), pp. 1267-1300.

How does political uncertainty affect speculator behaviour in commodity futures markets?

Fiona Höllmann

Baker, S. R., Bloom, N., & Davis, S. J. (2016), Measuring economic policy uncertainty. The Quarterly Journal of Economics, Vol. 131 (4), pp. 1593-1636.

Co-movements and common factors of commodity futures prices

Alexander Pütz

Joseph P.B., Giorgio F., Norbert F. (2013), Primary commodity prices: Co-movements, common factors and fundamentals, Journal of Development Economics, Vol. 101, pp. 16-26.

 

Individual appointments are made with each seminar participant for an initial discussion and further supervision of the work.

Organizational notes

  • There are 22 seminar places, distributed on a first-come-first-served basis. A maximum of two students can work on each topic. Interested students can send an email with two prioritized topic requests to Ms. Höllmann (fiona.hoellmann@wiwi.uni-muenster.de).
  • A kick-off meeting will be held on Thursday, September 15, 2022 from 10:00-12:00 in STA 1 (Am Stadtgraben 9, first floor).
  • The deadline for submission of the seminar paper is Monday, January 9, 2023 (by 12:00 noon) to the staff of the Department of Economics, especially Monetary Economics (Rooms 103 and 115, Am Stadtgraben 9). Please hand in a print version and send your supervisor a digital PDF version including the R-code.
  • The seminar will be held as a block session on Saturday, January 14, 2023 from 10:00 am - 6:00 pm in STA 1 (Am Stadtgraben 9, first floor). The students will present and discuss the work on this date. Attendance is required.
  • Grading is based on the written seminar paper (70%) and the presentation and participation during the block course (30%).
  • The exam registration for the seminar takes place at the early date in the winter semester 2022/2023.
  • Within the framework of this event, 6 credits (Bachelor, PO 2018, 2020 and 2022) can be acquired.
  • If the current situation prevents the implementation of face-to-face events, we reserve the right to adapt the seminar accordingly.

 

Literature

Please note that a comprehensive literature search is part of the grading of the seminar paper. In addition to the primary literature, special attention should be paid to recent articles in relevant English-language journals. The recommended introductory literature should serve as a starting point for the students and is not sufficient to answer the research question.