Search: Index of Commodity Prices
RBA Glossary definition for Index of Commodity Prices
Index of Commodity Prices – A Reserve Bank of Australia-compiled index which provides a measure of price movements in rural and non-rural (including base metals) commodities in Australian Dollars (AUD), Special Drawing Rights (SDR) and United States Dollars (USD).
Search Results
Financialisation and the Term Structure of Commodity Risk Premiums
1 May 2017
RDP
2017-03
In particular, those commodities that are part of major commodity indices, such as the S&P Goldman Sachs Commodity Index (GSCI) and the Bloomberg Commodity Index (BCOM; formerly the Dow Jones ... If the betas for on- and off-index commodities differed,
https://www.rba.gov.au/publications/rdp/2017/2017-03/full.html
References
6 Jun 2017
RDP
2017-03
Journal of International Money and Finance. , 42, pp 9–37. Hamilton JD and JC Wu (2015), ‘Effects of Index-Fund Investing on Commodity Futures Prices’,. ... Tang K and W Xiong (2012), ‘Index Investment and the Financialization of Commodities’,.
https://www.rba.gov.au/publications/rdp/2017/2017-03/references.html
Related Literature and Theory
6 Jun 2017
RDP
2017-03
2.1 Commodity Risk Premiums. As discussed above, the net hedging pressure theory suggests that commodity futures prices will be set equal to the spot price participants expect to prevail at ... Dwyer et al 2012; Tang and Xiong 2012); the volatility of
https://www.rba.gov.au/publications/rdp/2017/2017-03/related-literature-and-theory.html
Introduction
6 Jun 2017
RDP
2017-03
As such, it is important to understand how commodity prices, both spot and futures, are set and whether there are any distortions to these prices. ... A common theory used to explain commodity futures prices – the net hedging pressure theory (Cootner
https://www.rba.gov.au/publications/rdp/2017/2017-03/introduction.html
Conclusion
6 Jun 2017
RDP
2017-03
As such, it is important to understand how commodity prices, both spot and futures, are set and whether there are any distortions to these prices. ... This is most evident for short-maturity commodity contracts. We also find some evidence that
https://www.rba.gov.au/publications/rdp/2017/2017-03/conclusion.html
The Effect of Financialisation on Commodity Risk Premiums
6 Jun 2017
RDP
2017-03
In particular, those commodities that are part of major commodity indices, such as the S&P Goldman Sachs Commodity Index (GSCI) and the Bloomberg Commodity Index (BCOM; formerly the Dow Jones ... Tang and Xiong (2012) use a similar set-up to consider
https://www.rba.gov.au/publications/rdp/2017/2017-03/the-effect-of-financialisation-on-commodity-risk-premiums.html