Tuesday, August 12, 2025
Session I: Economics and Finance of the Oil Market
Paper: “Geopolitical Oil Price Risk and Economic Fluctuations.” Lutz Killian (Federal Reserve Bank of Dallas), Michael Plante (Federal Reserve Bank of Dallas), and Alexander W. Richter (Federal Reserve Bank of Dallas).
Paper: “Upside Risks and Models of Crude Oil Market.” Gurdip Bakshi (Temple University), Xiaohui Gao Bakshi (Temple University), and Yuan Hu (Temple University).
Paper: “Stock-Oil Comovement: A Present-Value Approach.” Alessandro Melone (Ohio State University), Otto Randl (WU Vienna University of Economics and Business, Austria), Leopold Sogner (Institute for Advances Studies (IHS), Austria), and Josef Zechner (WU Vienna University of Economics and Business, Austria). Discussant: Andrew Detzel, Baylor University.
Paper: “Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums.” Haibo Jiang (University of Quebec at Montreal, Canada). Discussant: Hong Miao, Colorado State University.
Session II: Modelling Advances on Commodity Derivatives Markets
Paper: “The Political Economy of Export Bans and Commodity Price Volatility: Theory and Evidence from Agricultural Markets." Michael K. Adjemian (University of Georgia), Casey Petroff (University of Rochester), and Michel A. Robe (University of Richmond). Discussant: Fred Seamon, the CME Group.
Paper: “New Tests of the Theory of Storage and the Theory of Normal Backwardation: Time and Frequency Dimensions.” Wenbin Cao (NEOMA Business School, France), Xiaoman Duan (Sam Houston State University), Scott Linn (University of Oklahoma), and Pierre Six (NEOMA Business School, France). Discussant: Brian Wright, University of California Berkley.
Paper: “Call the Zookeeper: Dissecting Commodity Pricing Theories.” John Hua Fan (Griffith University, Australia), Xihang Li (City University of Hong Kong, Hong Kong), Xiao Qiao (City University of Hong Kong, Hong Kong), and Tingxi Zhang (Curtin University, Australia). Discussant: Jack Strauss, University of Denver.
“Hedging Pressure, Variance Risk Premia, and Expected Futures Returns in the Commodity Market.” Asad Dossani (Colorado State University), Sang Baum Kang (Illinois Institute of Technology), and Xuhui (Nick) Pan (University of Oklahoma). Discussant: Discussant: Cheng Zhang, University of Denver
Wednesday August 13, 2025
Ignite Session: Policy and Trading Issues on Commodity Markets
Paper: “Understanding Commodity Price Fluctuations: Trends, Cycles, and Volatility.” Piergiorgio Alessandri (Bank of Italy), and Andrea Gazzani (Bank of Italy), John Baffes (World Bank), Jeetendra Khadan (World Bank), Dawit Mekonnen (World Bank).
Paper: “Trader Attention and Market Reaction to Fundamental News: Evidence from Natural Gas Futures.” Chen Gu (Shanghai Business School, China), Alexander Kurov (West Virginia University), and Raluca Stan (University of Minnesota Duluth).
Paper: “The Passthrough of Agricultural Commodity Prices to Food Prices.” Francisco Scott (Federal Reserve Bank of Kansas City (FRB-KC), Amaze Lusompa (FRB-KC), David Rodziewicz (FRB-KC), Cortney Cowley (FRB-KC), and Jacob Dice (FRB-KC).
Paper: “Commodity Futures Report Text Sentiment and Returns.” Qian Han (Sun Yat-Sen University, China), Pei-lin Hsieh (National ChengChi University, Taiwan, ROC), and Lu Zhang (China Construction Bank, China).
Session III: Commodity Trading and Financial Investors
Paper: “Does Financial Stress Affect Commodity Futures Traders’ Positions?” Shengwu Du (Federal Reserve Board), Travis Nesmith (Federal Reserve Board), and Yang Heppe (Federal Reserve Board).
Paper: “Commodity Returns: Lost in Financialization.” Fahiz Baba-Yara (Indiana University), and Massimiliano Bondatti (CUNEF University, Spain).
Paper: “Metals, markets and melting points: Deriving Market Expectations of Global Warming from Commodity Prices.” Evangelos Drellias (University of Cambridge, UK), and Joseph Noss (King’s College, UK).
Paper: “The Role of Financial Traders for Price Responses to Shocks in the Commodity Futures Markets." Yuki Sato (Goethe University Frankfurt, Germany).