We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and...

We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and March of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and...

Safe assets play a critical role in an(y) economy. A "safe asset" is an asset that is (almost always) valued at face value without expensive and prolonged analysis. That is, by design there is no benefit to producing (private) information about its value. And this is common knowledge....

Short-term debt that can serve as a medium of exchange is designed to be information insensitive. No one should be tempted to acquire private information to gain an informational advantage in trading that could destabilize the value of the debt. Short-term debt minimizes the incentive to acquire...

The amount of information produced about firms' productivities and about the quality of collateral backing their loans varies over time. These information dynamics determine the evolution of credit, output and productivity, which feeds back into incentives to produce information. We characterize...

Measured over long horizons, the correlation between stocks and commodities is close to zero. However, it varies widely over time. Using historical data extending back to 1960 we study the stock-commodity correlation and show: (1) Stock-commodity correlation has a business-cycle component: it is...

Measured over long horizons, the correlation between stocks and commodities is close to zero. However, it varies widely over time. Using historical data extending back to 1960 we study the stock-commodity correlation and show: (1) stock-commodity correlation has a business cycle component: it is...