Reinhard Ellwanger - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T05:50:58+00:00On the Tail Risk Premium in the Oil Market
https://www.bankofcanada.ca/2017/11/staff-working-paper-2017-46/
This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns.2017-11-20T07:47:32+00:00enOn the Tail Risk Premium in the Oil Market2017-11-20Asset pricingEconometric and statistical methodsFinancial marketsStaff Working Paper 2017-46https://www.bankofcanada.ca/wp-content/uploads/2017/11/swp2017-46.pdfOn the Tail Risk Premium in the Oil MarketReinhard EllwangerNovember 2017CC5C53C58DD8D84EE4E44GG1G12G13QQ4Q43Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-35/
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.2017-09-11T08:14:33+00:00enDid the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?2017-09-11Econometric and statistical methodsFinancial marketsRecent economic and financial developmentsStaff Working Paper 2017-35https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-35.pdfDid the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?Christiane BaumeisterReinhard EllwangerLutz KilianSeptember 2017QQ1Q18Q2Q28Q4Q42Q5Q58