Paper: Commodity e inflación

Do Commodity Price Spikes Cause Long-Term Inflation?

Abstract:

This public policy brief examines the relationship between trend inflation and commodity price
increases and finds that evidence from recent decades supports the notion that commodity price 
changes do not affect the long-run inflation rate. Evidence from earlier decades suggests that 
effects on inflation expectations and wages played a key role in whether commodity price 
movements altered trend inflation.  This brief  is based on a  memo  to the  president of the 
Federal Reserve Bank of Boston as background to a meeting of the Federal Open Market
Committee.
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Paper: Trades, Inversores e información

To Trade or Not to Trade? Informed Trading with High-Frequency Signals for Long-Term Investors

Abstract:
When a long-term investor trades a slowly changing portfolio, she is not very time sensitive to when exactly she should place or change her bet. The value of the embedded optionality provided by this flexibility may be extracted by using high frequency information to choose when to trade (exercise the option). Mechanically, if the short-term view concurs with the trade, then the trade is placed. Otherwise, the investor waits for a more favorable environment. Strategic trade modification provides exposure to short-term signals without having to pay additional transaction costs and with no capacity limits. We implement our trading approach (Informed Trading) on real and simulated portfolios to illustrate its effect on portfolio performance. We show that realistic portfolios can achieve a five percent exposure to a high frequency signal. Long-term investors should no longer ignore high frequency information just because it is too expensive to trade on.

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