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