Solène Marine Sophie Collot

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Collot
First name
Solène Marine Sophie
Email
solene.collot@unisg.ch
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+41 71 224 7006

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    Item type:Publication,
    Measuring Financial Investor Presence Through Term Structure Deflection
    (SoF-HSG, 2021)
    Adams, Zeno  
    ;
    Collot, Solène Marine Sophie  
    ;
    Kirilenko, Andrei
    We estimate the presence of financial investors in commodity futures markets from deflections in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We compare this new speculation indicator to popular existing measures including reported CFTC data and the Hamilton and Wu (2014) risk premium. We find substantial financial investor presence in commodity markets from 2004 to 2014. We show that our new speculation measure is better at explaining the variation in crude oil volatility than other existing measures.
    Type:working paper
    Volume:2021/08
    Issue:08
    URI:https://www.alexandria.unisg.ch/handle/20.500.14171/110802