Monday, August 15, 2022

9:15am - 10:00am - Academic Keynote Nikolai Roussanov, Moise Y. Safra Professor of Finance at the Wharton School of the University of Pennsylvania

10:15am - 12:05pm - Session I: Economics of Energy Markets

  • Chair: Lutz Kilian, Federal Reserve Bank of Dallas
    • Deepa D. Datta (Federal Reserve Board), and Daniel A. Dias (Federal Reserve Board). “Oil Shocks: A Textual Analysis Approach.” Discussant: Lutz Kilian, Federal Reserve Bank of Dallas
    • Lutz Kilian (Federal Reserve Bank of Dallas & CEPR), and Xiaoqing Zhou (Federal Reserve Bank of Dallas) “Oil Prices, Gasoline Prices and Inflation Expectations.”  Discussant: A. Lee Smith, Federal Reserve Bank of Kansas City
    • Knut Are Aastveit (Norges Bank, Norway), Hilde C. Bjørnland (BI Norwegian Business School, Norway), and Thomas S. Gundersen (Norway). “The Price Responsiveness of Shale Producers: Evidence from Micro Data.”  Discussant: Veronika Selezneva, CERGE-EI, Czech
    • Johan Brannlund (Bank of Canada), Geoffrey Dunbar (Bank of Canada), and Reinhard Ellwanger (Bank of Canada). “Are temporary oil supply shocks real?” Discussant: Thomas Lee, US EIA

12:05pm - 1:00pm - Poster Presentation Session

  • Chair: Jian Yang, University of Colorado Denver (Hong Miao)
    • Ignacio Cervera (Universidad Pontificia Comillas, Spain), and Isabel Figuerola‐Ferretti (Universidad Pontificia Comillas, Spain). “Credit Risk and mild explosivity of Credit Default Swaps in the Corporate Energy Sector.”
    • Nima Ebrahimi (Tulane University). “Gold Risk, Crash Fear and Expected Stock Returns.”  
    • Yufeng Han (University of North Carolina at Charlotte), and Lingfei Kong (Washington University in St. Louis). “The Serial Dependence of the Commodity Futures Returns: A Machine Learning Approach.” 

1:00pm - 2:45pm - Industry Panel “Investing in Commodities Today”

  • Facilitator: Bob Greer, Scholar in Residence, J.P. Morgan Center for Commodities
    • Panelists:
      • Kartik Ghia: Senior Quantitative Researcher, Bloomberg
      • Nicholas Sly:  Assistant Vice President, U.S. Federal Reserve Bank
      • Nick Vasserman: Founder & Chief Investment Officer, Integrated Portfolio Intelligence, LLC,  
      • Paul Pittman: Executive Chairman & CEO, Farmland Partners, Inc.

3:00pm - 4:50pm - Session II: Trading and Hedging on Commodity Markets

  • Chair: Robert Webb, University of Virginia
    • Zeno Adams (University of St. Gallen, Switzerland), Solène Collot (University of St. Gallen, Switzerland), and Andrei Kirilenko (University of Cambridge, UK), “Measuring Financial Investor Presence Through Term Structure Deflection.” Discussant: Ing-Haw Cheng, University of Toronto, Canada
    • Craig Pirrong (University of Houston). “Strategic Trading and Manipulation in Trade at Settlement Contracts.” Discussant: Anthony Lee Zhang, University of Chicago
    • Haibo Jiang (University of Quebec at Montreal, Canada), Nishad Kapadia (Tulane University), Yuhang Xing (Rice University), and Yifan Zhang (Rice University) “The Great Gold De-Hedging of the 2000s and Corporate Risk Management.” Discussant: Don Lien, University of Texas at San Antonio
    • Ing-Haw Cheng (University of Toronto, Canada), Ke Tang (Tsinghua University, China), and Lei Yan (Yale University) “Hedging Pressure and Commodity Option Prices.” Discussant: Nick Pan, University of Oklahoma

5:00pm - 7:00pm - Networking Reception & Dinner


    Tuesday, August 16, 2022

    9:15am - 10:00am - Ovintiv Industry Keynote Robert Bryce, author of “The Question of Power”

    10:15am - 12:05pm - Session III: Liquidity, Storage and Risk Premium on Commodity Markets

    • Chair: Bart Frijns, Open University of the Netherlands
      • Pankaj Jain (University of Memphis), Ayla Kayhan (Commodity Futures Trading Commission), and Esen Onur (Commodity Futures Trading Commission. “Determinants of Commodity Market Liquidity” Discussant: Yufeng Han, University of North Carolina at Charlotte
      • Andrei Stancu (Newcastle University, UK), Lazaros Symeonidis (University of Essex, UK), Chardin Wese Simen (University of Liverpool, UK), and Lei Zhao (ESCP Business School, France). “The Dynamics of Storage Costs”.  Discussant: Brian Wright, University of California, Berkley
      • Loıc Marechal (University of University of Neuchatel, Switzerland). “A tale of two premiums revisited.” Discussant: Xiao Qiao, City University of Hong Kong, Hong Kong
      • Eugenio S. A. Bobenrieth (Pontificia Universidad Catolica de Chile, Chile), Juan R. A. Bobenrieth (Universidad del Bıo-Bıo, Chile), Brian Wright (UC-Berkley), Ernesto A. Guerra (Universidad Catolica de la Santısima Concepcion, Chile). “A Weak Trend Hides Strong Commodity Price Predictability: An Empirical Method For An Unrecognized Problem” Discussant: Craig Pirrong, University of Houston

    12:05pm - 1:00pm - Lunch

    1:00pm - 2:50pm - Industry Panel “Commodities & Carbon Markets” 

    • Facilitator: Tom Lord, Norton Rose Fulbright
      • Panelists:
        • Julie Lerner, PanXchange
        • Lance Titus, Uniper
        • Joseph Williams, Norton Rose Fulbright
        • Deanna Reitman, DLA Piper

    3:00pm - 4:50pm - Session IV: Commodities Matter Everywhere

    • Chair: Brian Wright, University of California, Berkley
      • Andrés Fernández (IMF), Stephanie Schmitt-Grohé (Columbia University & NBER), and Martín Uribe (Columbia University & NBER). “Does the Commodity Super Cycle Matter?” Discussant: Alain Kabundi, World Bank
      • Laurent Ferrara (University Côte d’Azur, France), Aikaterini Karadimitropoulou (University of Piraeus, Greece), and Athanasios Triantafyllou (ESSEX Business School, UK).  “Commodity price uncertainty comovement: Does it matter for global economic growth?” Discussant: Andrew Detzel, Baylor University 
      • Nida Cakır Melek (Federal Reserve Bank of Kansas City), and Musa Orak (Federal Reserves Board).  “The Income Share of Energy and Substitution: A Macroeconomic Approach.” Discussant: Ian Lange, Colorado School of Mines
      • Dongwon Lee (University of California, Riverside). “Commodity terms of trade volatility and industry growth." Discussant: Athanasios Triantafyllou, ESSEX Business School, UK

    4:50pm - 5:00pm - Symposium Wrap Up