Determinants and Impact of Commodity Price Dynamics

Thursday, June 26, 2014 - 8:40 AM
Münster, Germany
Jun 26

CIGI Senior Fellow Pierre Siklos is among the panellists for the Viessman European Research Center's 14th annual conference, June 26, 2014, Munster, Germany. Pierre chairs the opening session, on Index Trading and Market Structure. CIGI is sponsoring the event under its Collaborative Research Awards.


Ansgar H. Belke, University of Duisburg-Essen, Germany

Martin T. Bohl, Westfälische Wilhelms-University Münster, Germany

Pierre L. Siklos, Wilfrid Laurier University

and Viessmann European Research Centre, Waterloo, Canada

Oliver von Ledebur, Johann Heinrich von Thünen-Institut, Braunschweig, Germany


Thursday, June 26, 2014

Opening Session

08:30 – 08:40 Words of Welcome, Ansgar H. Belke, University of Duisburg-Essen, Germany

 Session I Index Trading and Market Structure

Chair: Pierre L. Siklos, Wilfrid Laurier University, Canada

08:40 – 09:15 Cross-Market Investor Sentiment in Commodity Exchange-Traded Funds

Hsiu-Lang Chen, University of Illinois at Chicago, USA

09:15 – 09:50 The Role of Index Trading in Price Formation in the Grains and Oilseeds Markets

Christopher L. Gilbert and Simone Pfuderer, University of Trento, Italy

09:50 – 10:25 Three Narratives on the Changing Face of Global Commodities Market Structure

Diego Valiante, CEPS Brussels, Belgium

10:25 – 10:45 Coffee Break


Session II Bubbles and Fundamentals

Chair: Joscha Beckmann, University of Duisburg-Essen, Germany

10:45 – 11:20 Bubbles in Grain Futures Markets: When are They Most Likely to Occur?

Xiaoli I. Etienne, Scott H. Irwin and Philip Garcia, University of Illinois at Urbana-Champaign, USA

11:20 – 11:55 Fundamentals, Derivatives Market Information, and Crude Oil Price Swings

Michael A. Robe and Jonathan Wallen, Kogod School of Business, USA

11:55 – 12:30 From Boom to Bust: A Typology of Real Commodity Prices in the Long-Run

David S. Jacks, Simon Fraser University, Canada


Lunch 12:30 – 13:30


Session III Commodities as a Portfolio Component

Chair: Oliver von Ledebur, Johann Heinrich von Thünen-Institut, Germany

13:30 – 14:05 Risk-Based Commodity Investing

Simone Bernardi, Markus Leipold and Harald Lohre, University of Zurich, Switzerland

14:05 – 14:40 Do Commodities add Value in Multi-Asset-Portfolios?

Wolfgang Bessler and Dominik Wolff, Justus-Liebig-University Giessen, Germany

14:40 – 15:00 Coffee Break


Session IV Commodity Price Determinants

Chair: Martin T. Bohl, Westfälische Wilhelms-University Münster, Germany

15:00 – 15:35 Oil Price and Exchange Rate Dependency

Joscha Beckmann, Theo Berger and Robert Czudaj, University of Duisburg-Essen and Kiel Institut for the World Economy

15:35 – 16:10 Understanding the Cyclical Behavior of World Commodity Prices

Stephen Ingram, University of Western Australia, Australia

16:10 – 16:45 How Integrated is the US Market for Natural Gas?

Tim Böker and Albrecht F. Michler, University of Düsseldorf, Germany

 Dinner 18:00 Mövenpick Hotel Münster, Kardinal-von-Galen-Ring 65, 48149 Münster

Session structure: 25 minutes presentation and 10 minutes discussion by audience.

Venue: Alexander von Humboldt-Haus, Hüfferstraße 61, 48149 Münster

A list of the conference participants is available Munster 2014 List of participatns.

The organizers are also grateful for the financial support from CIGI (Centre for International Governance Innovation) through a Collaborative Research Award.

Event Speakers

Pierre Siklos is a CIGI senior fellow. His research interests include applied time series analysis and monetary policy, with a focus on inflation and financial markets.