Monday, August 14, 2023
Keynote I: Dr. Sheridan Titman, McAllister Centennial Chair in Financial Services and Director of the Energy Management & Innovation Center at the University of Texas at Austin, former president of American Finance Association and a research associate of NBER. "The Valuation and Hedging of Commodity Investments: Theory and Practice.”
Session I: Economics of Energy Markets
Lutz Kilian (Federal Reserve Bank of Dallas & CEPR), and Xiaoqing Zhou (Federal Reserve Bank of Dallas). “Heterogeneity in the Pass-Through from Oil to Gasoline Prices: A New Instrument for Estimating the Price Elasticity of Gasoline Demand.” Discussant: Ian Lange, Colorado School of Mines
Asad Dossani (Colorado State University), and John Elder (Colorado State University). “Uncertainty and Investment: Evidence from Domestic Oil Rigs.” Discussant: Thomas Lee, US EIA
Ernesto Guerra V. (Universidad Catolica de la Santısima Concepcion, Chile), Eugenio Bobenrieth H. (Pontificia Universidad Catolica de Chile, Chile), Juan Bobenrieth H. (Universidad del Bıo-Bıo), and Brian Wright (UC-Berkley). “Endogenous thresholds in energy prices: modelling and empirical estimation.” Discussant: Lutz Kilian, Federal Reserve Bank of Dallas and CEPR
Christina Sklibosios Nikitopoulosa (University of Technology Sydney, Australia), Alice Carole Thomasa (University of Technology Sydney, Australia), and Jianxin Wang (University of Technology Sydney, Australia). “Liquidity provision channels and oil price volatility.” Discussant: Ayla Kayhan, US Commodity Futures Trading Commission
Shorter Paper Presentation Session I (Commodities and the Economy)
Ron Alquist (Financial Stability Oversight Council/the US Treasury), R. Jay Kahn (Federal Reserve Board), and Karlye Dilts Stedman (Federal Reserve Bank of Kansas City). “Central Banker to the World: Foreign Reserve Management and U.S. Money Market Liquidity.”
Alexander Kurov (West Virginia University), Eric Olson (University of Tulsa), and Marketa Halova Wolfe (Skidmore College). “How Did the Linkages between Stocks, Oil, and Interest Rates Change Over Time?”
Johan Brannlund (Bank of Canada), Geoffrey Dunbar (Bank of Canada), Reinhard Ellwanger (Bank of Canada), and Matthew Krutkiewicz (University of Toronto, Canada). “Weather the storms? Hurricanes, resilience and production.”
Session II: Trading, Pricing, and Production on Commodity Markets
Miruna-Daniela Ivan (Bank of England, UK), Chiara Banti (University of Essex，UK), and Neil Kellard (University of Essex, UK). “Liquidity, Monetary Policy and the Commodity Futures Market.” Discussant: Hong Miao, Colorodo State University
Magdalena Cornejo (Universidad Torcuato Di Tella, Argentina), Nicolas Merener (Universidad Torcuato Di Tella, Argentina), and Ezequiel Merovich (Universidad Torcuato Di Tella, Argentina). “Pricing in Agricultural Commodity Markets Under a Changing Climate.” Discussant: Haibo Jiang, University of Quebec at Montreal, Canada
Joseph P. Janzen (University of Illinois Urbana-Champaign), Nicholas D. Paulson (University of Illinois Urbana-Champaign), and Juo-Han Tsay (University of Missouri–Columbia). “Commodity storage and the cost of capital: Evidence from farm-level data.” Discussant: Shahram Amini, University of Denver.
Amelie Schischke (University of Augsburg, Germany), Patric Papenfuß (University of Augsburg, Germany) and Andreas Rathgeber (University of Augsburg, Germany). “The three co’s to jointly model commodity markets: co-production, co-consumption, co-trading.” Discussant: Alain Kabundi, International Monetary Fund
Tuesday, August 15, 2023
Shorter Paper Presentation Session II (Issues on Commodity Futures)
Kun Peng (IHS Markit), Zhepeng Hu (China Agricultural University, China), and Michel A. Robe (University of Illinois Urbana-Champaign). “Maximum Order Size and Market Quality: Evidence from a Natural Experiment in Commodity Futures Markets.”
Xiaoyang Wang (University of New Mexico – Albuquerque). “Price discovery around the clock: an entropy-based analysis of information share and market efficiency in global copper futures markets.”
Zunxin Zheng (Shenzhen University, China), Gaiyan Zhang (University of Missouri–St. Louis), and Yingzhao Ni (Shenzhen University, China). “Financial Regulatory Arbitrage and the Financialization of Commodities.”
Xue Jiang (Tianjin University of Finance and Economics, China), Liyan Han (Beinhang University, China), and Yang Xu (Beihang University, China). “Does Skewness Predict Commodity Futures Returns? Evidence from the Chinese Market.”
Keynote II: Dr. Scott Nelson, Georgia Athletic Association Professor, University of Georgia. “Parallels from the Past in Ukraine: What Historic Grain Pathways Tell Us About Geopolitical Instability”
Session III: Hedging and Risks on Commodity Markets
Yifan Ma (Erasmus University Rotterdam, Netherlands), and Marta Szymanowsk (Erasmus University Rotterdam, Netherlands). “Hedging Macro Risks of Commodity-Dependent Economies.” Discussant: Steffen Hitzemann, University of Houston
Jason P. Brown (Federal Reserve Bank of Kansas City), Nida Cakır Melek (Federal Reserve Bank of Kansas City), Johannes Matschke (Federal Reserve Bank of Kansas City), and Sai A. Sattiraju (Federal Reserve Bank of Kansas City). “The Missing Tail Risk In Option Prices” Discussant: Nick Pan, University of Oklahoma
Hitesh Doshi (University of Houston), Praveen Kumar (University of Houston), and Virgilio Zurita (Baylor University). “Corporate Hedging, Investment, and Higher Moments of Stock Returns” Discussant: Nishad Kapadia, Tulane University
Lei Ming (Hunan University, China), Qianqiu Liu (University of Hawaii at Manoa), and Ping Yang (Hunan University, China). “Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments” Discussant: Eric Olson, University of Tulsa