Chin, Michael; Liu, Zhuoshi - Bank of England - 2015
physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and … components. We estimate that the risk premium in oil futures has been negative over the 1980s and 1990s, and turned positive in … the mid-2000s, consistent with a declining role for supply shocks in the oil market over this period. In contrast, we …