The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage effect” – the volatility is higher following...

This paper employs monthly data on China's net oil import from January 1997 to June 2010 to assess the role of China's net import in the evolution of the crude oil price. Based on a vector autoregression (VAR) analysis, we find that the growth of China's net oil import has no significant impact...

This paper examines whether, and to what extent, the spot LNG markets in different regions (East Asia, Iberia, Northwest Europe, and South America) are integrated and how market integration evolves over time. We first lay out a framework of market integration in the context of global LNG market...

In this paper, we employ an unobserved components model to disentangle the long-term trend from cyclical movements in international benchmark crude oil prices using data from 1861 to 2010. The in-sample estimation of the model identifies a deterministic quadratic trend and two types of cycles,...