scholarly journals From Cash- to Securities-Driven Euro Area Repo Markets: The Role of Financial Stress and Safe Asset Scarcity

2019 ◽  
Author(s):  
Claus Brand ◽  
Lorenzo Ferrante ◽  
Antoine Hubert de Fraisse
Keyword(s):  
Euro Area ◽  
Financial Stress

Return Characteristics of Commodities

2018 ◽  
Author(s):  
Dianna Preece
Keyword(s):  
Financial Crisis ◽  
Negative Correlation ◽  
Institutional Investors ◽  
Financial Stress ◽  
Commodity Futures ◽  
Futures Contracts ◽  
The Subject ◽  
Diversified Portfolio

The role of commodities in a diversified portfolio has been the subject of research and debate since the late 1970s. Investors can hold the physical commodity or use derivatives such as futures contracts to access commodity exposure. Institutional investors primarily gain exposure to commodities via futures contracts. Commodity futures returns are comprised of a collateral return, a spot return, and a roll return. Research dating back to the late 1970s suggests that commodities should be included in diversified portfolios because they act as an inflation hedge, are portfolio diversifiers due to negative correlation with stocks and bonds, and potentially offer returns and volatility comparable to equities. Commodity performance has been generally weak in the years following the financial crisis of 2007–2008. Many studies find that correlation of commodity returns with stocks and bonds increases during periods of financial stress.

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