Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/307400 
Erscheinungsjahr: 
2021
Quellenangabe: 
[Journal:] Journal of Economic Behavior & Organization [ISSN:] 1879-1751 [Volume:] 191 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2021 [Pages:] 1011-1024
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
We study the state-dependent trading behavior of financial institutions in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We consider two states of the world: tranquil and turbulent. We decompose the observable time-varying price volatility during the period 2006M6–2016M5 into changes in the slopes of traders’ demand curves and into changes in the variability of their demand shocks. We find that the downward-sloping demand curve of intermediaries steepens significantly during crises times and that the variance of their demand shocks doubles. These findings suggest that the futures pricing of financial institutions is highly nonlinear and raises the hedging costs of producers and consumers of oil when volatility is high.
Schlagwörter: 
Asset pricing
Trading behavior
Financial institutions
Vector autoregressions
Market microstructure
Oil markets
JEL: 
C32
G12
G21
Q02
DOI der veröffentlichten Version: 
Creative-Commons-Lizenz: 
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Dokumentart: 
Article
Dokumentversion: 
Accepted Manuscript (Postprint)

Datei(en):
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