Volatility of Commodity Futures Prices and Market-Implied Inflation Expectations
Sign Up to like & getrecommendations! Published in 2017 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2017.10.002
Abstract: Abstract This study examines intricate interplay between crude oil, copper and gold futures prices, and market-implied inflation expectations that are proxied by the breakeven inflation derived from the 5-year US Treasury Note yields. We perform… read more here.
Keywords: market implied; implied inflation; prices market; futures prices ... See more keywords
Market risk and market-implied inflation expectations
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.101389
Abstract: Abstract We examine interactions between market risk and market-implied inflation expectations. We argue that these interactions are asymmetric and varied in time. Specifically, market risk becomes elevated by expectations of either very low or high… read more here.
Keywords: market implied; implied inflation; market; market risk ... See more keywords