Commodities and Emerging Market Risks

The Volatility Institute hosted its eighth annual conference on April 29, 2016 titled "Commodities and Emerging Market Risks."

Click here for the Eighth Annual Volatility Institute Conference Program. You can view photos from the event here.

Keynote Speaker Felipe Larraín B., Former Minister of Finance of Chile (left) and conference host Robert Engle pose for a photo.

The collapse of commodity prices has dramatically affected many emerging market economies. We see falling exchange rates, equity indices and GDP. Patterns of asset correlations and volatilities reflect these risks. However, financial institutions appear to be adequately capitalized in many cases.  What are the causes and consequences of these events? Slowing growth in China is a key driver but slow growth in other developed economies including Japan, Europe and the US has also affected both commodity prices and emerging economies. The collapse of the carry trade and exit of “hot money” may be part of the story. Both private and sovereign borrowing are important factors in other countries.  This conference will focus on the global risks, both now and in the future, pertaining to commodity prices and emerging market economies.

8:00am Registration
8:20-8:30am Welcome Remarks: Dean Peter Blair HenryNYU Stern School of Business
8:30-9:50am Session 1: Chair: Viral AcharyaNYU Stern School of Business
Michael SiemerBoard of Governors of the Federal Reserve System "Uncertainty and International Capital Flows"
(co-authored with Francois Gourio and Adrien Verdelhan)
Discussant: Robert RichmondUCLA Anderson School of Management

Rui C. ManoInternational Monetary Fund "Unveiling the Effects of Foreign Exchange Intervention: A Panel Approach"
(co-authored with Gustavo Adler and Noemie Lisack)
Discussant: Takatoshi ItoSchool of International and Public Affairs, Columbia University
9:50-10:35am Keynote Speaker: Felipe Larraín B., Professor of Economics and Director of Latin American Center for Economic and Social Policies, Pontificia Universidad Catolica de Chile. Former Minister of Finance of Chile (2010-2014) "Managing Public Finances in Natural Resource Abundant Economies"
10:35-11:00am Refreshment Break
11:00-12:20pm Session 2:
Chair: Peter Hooper, Deutsche Bank
Reinhard EllwangerBank of Canada "Driven By Fear? The Tail Risk Premium in the Crude Oil Futures Market"
Discussant: Emil SiriwardaneHarvard Business School

Lutz KilianUniversity of Michigan "A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil"
(co-authored with Christiane Baumeister)
Discussant: Jing Cynthia WuChicago Booth and NBER
12:20-2:00pm Lunch & Luncheon Address:
Ryan LaFond, Managing Director, Research Head, Asia Pacific and Emerging Markets Equity Group, BlackRock Inc.
"EM Equity, What is it and Why this Matters for Risk"
2:00-4:00pm Session 3:
Chair: Eric GhyselsUniversity of North Carolina, Chapel Hill
Presenter: Benjamin Hood, AQR Capital Management "Risk Everywhere: Modeling and Managing Volatility"
(co-authors Tim Bollerslev, John Huss, and Lasse Heje Pedersen)
Discussant: Liuren WuZicklin School of Business, Baruch College, City University of New York

Presenter: Kasper V. Olesen, Bank of America Merrill Lynch and CREATES "Factor Structure in Commodity Futures Return and Volatility"
(co-authors Peter Christoffersen and Asger Lunde)
Discussant: Stephen FiglewskiNYU Stern School of Business

Asger LundeAarhus University & CREATES "Realizing Commodity Correlations"
(co-authored with Niels S. Grønborg, Kasper V. Olesen and Harry Vander Elst)
Discussant: Andrew PattonNYU Stern School of Business
4:00-4:20pm Refreshment Break
4:20-5:00pm What's New In V-Lab:
Robert F. EngleNYU Stern School of Business
5:00-6:00pm Panel Discussion
Moderator: Kim SchoenholtzNYU Stern School of Business
Ken Kroner
6:00pm Wine and Cheese Reception

Viral Acharya, Stern School of Business New York University
Robert Engle, Stern School of Business New York University
Stephen Figlewski, Stern School of Business New York University
Eric Ghysels, University of North Carolina – Chapel Hill
Bingxu Chen, BlackRock, Inc.
Peter Hooper, Chief Economist, Deutsche Bank Securities
Eric Jondeau, University of Lausanne HEC
Andrew Patton, Stern School of Business New York University
Matt Richardson, Stern School of Business New York University

The Volatility InstituteBlackRockDeutsche BankNasdaq OMXThe Alfred P. Sloan FoundationSoFiE, and the AIG-NYU Collaborative Research Initiative