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Niclas Robin Käfer
Last Name
Käfer
First name
Niclas Robin
Email
niclasrobin.kaefer@unisg.ch
Phone
+41 71 224 76 42
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PublicationRecovering from Shocks: Term Structure Signalling in Commodity Markets *( 2023-09-20)We examine the behaviour of commodity term structures following economic shocks. The response of the futures curve in the near term, relative to the front-month future, reflects market expectations about the type, magnitude, and persistence of a shock. These market expectations have predictive power for the recovery time after a shock. Our findings challenge the current view that term structures in commodity markets cannot contain market expectations due to arbitrage forces of the carry trade.Type: working paper