Overview
This project analyzes commodity markets through the knowledge and methodology of finance in order to support the valuation, risk management, and investment decision making on commodities. More specifically, it focuses on the analyses of (1) characteristics of commodity prices, (2) price relations between commodities and other assets, e.g., stocks and bonds, (3) effects of commodity prices on macro-economies, (4) determinants of electricity prices in the Japan Electric Power Exchange (JEPX), and (5) relations between electricity deregulation and corporate finance.
August 22, 2016 - March 31, 2018
Major Research Results
2018
RIETI Discussion Papers
2017
RIETI Discussion Papers
- 18-E-019
"Diversification Effect of Commodity Futures on Financial Markets" (KANAMURA Takashi) - 17-E-120
"Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York" (IWATSUBO Kentaro, Clinton WATKINS and XU Tao) - 17-E-102
"Asymmetric Reactions of the U.S. Natural Gas Market and Economic Activity" (Bao H. NGUYEN and OKIMOTO Tatsuyoshi) - 17-J-072
"Construction of JEPX Forward Pricing Model Based on the Spot Price Prediction Method" (YAMADA Yuji)
