Hedgers’ Reaction to Price Changes in Energy Futures Markets: Evidence from Mixed-Frequency Data

摘要

1. Significant increase of “non-commercial” participants(speculators) positions in commodity markets since 2002-3.2. Potential benefits from speculation are well-known:2.1 allow better risk-sharing2.2 liquidity provider (decrease risk premium) following Keynes’ theoryof normal backwardation2.3 facilitate price discovery through better informational efficiency3. But …