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Working Paper
Dividend Momentum and Stock Return Predictability: A Bayesian Approach
A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop methods to draw from any posterior distribution of a VAR that encodes a priori skepticism about large amounts of return predictability while imposing the CS restrictions. In doing so, we show how a common empirical practice of omitting dividend growth from the system amounts to imposing the extra ...
Journal Article
Speculation in the oil market
Disentangling the true drivers of oil prices is a critical first step for allocating resources and designing good policy.
Journal Article
When oil prices jump, is speculation to blame?
Whenever the price at the pump climbs week after week, people start pointing fingers at investment banks, hedge funds and other speculators. This article quantifies the role that speculation played in the rise of oil prices during the past decade.
Working Paper
Speculation in the oil market
The run-up in oil prices after 2004 coincided with a growing flow of investment to commodity markets and an increased price comovement between different commodities. We analyze whether speculation in the oil market played a key role in driving this salient empirical pattern. We identify oil shocks from a large dataset using a factor-augmented autoregressive (FAVAR) model. We analyze the role of speculation in comparison to supply and demand forces as drivers of oil prices. The main results are as follows: (i) While global demand shocks account for the largest share of oil price fluctuations, ...