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Essays on commodity and currency excess returns
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This Ph.D. thesis explores the dynamics of excess returns in two sophisticated asset classes: commodities and exchange rates. Specifically, the first chapter demonstrates that exchange rates are significantly exposed to downside tail-risk concerning several commodities. The second chapter focuses on the dynamics of commodity excess returns around the phenomenon of “financialization” of commodity markets, characterized by increased institutional investors and index capital flows into the commodity futures market. It finds that approximately 80% of commodity futures strategies that previously generated significant returns are no longer profitable after “financialization”.
Lastly, the third chapter reveals that financial intermediaries, along with changes in market participation among them that occurred with the “financialization”, impact the dynamics of the subjective return expectations of professional forecasters in commodity markets.
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Commodity futures markets Exchange rates Financialization of commodities Financial intermediation Subjective return expectations