This digest article discusses how modeling the relationship between oil prices, exchange rates and interest rates raises some interesting identification challenges. Recent research shows how the workhorse structural oil market VAR model may be modified to overcome these challenges. The resulting structural model sheds light on common conjectures about the determinants of the variability of the real exchange rate, the real price of oil, and the U.S. real interest rate. The model estimates provide a more nuanced understanding of historical oil price fluctuations, but substantively agree with earlier historical narratives.

This paper is the first in a two-part series. In the current paper, the authors review the definition of liquidity, its importance to market practitioners and policymakers and discuss different measures of market liquidity. In the second part of this series, which will be included in the next issue of the GCARD, the authors will review the unique features of the U.S. natural gas market and how price formation occurs for the various types of natural gas products. This paper will also provide an assessment of liquidity in the U.S. natural gas market.

This digest article describes a new research project at the JPMCC: the launch of the Geopolitical Oil Price Risk Index (GOPRX), which is designed to reflect the impact of geopolitics on oil prices, volatility, and supply in one succinct metric.

In this report, the JPMCC’s Research Director provides updates about the Center’s research activities from January 2019 through August 2019 with the focus on two international commodities conferences organized or co-organized by the Research Director on behalf of the JPMCC. Those conferences, in turn, were the “International Conference on Derivatives Market and Risk Management,” held in Shanghai, China; and the JPMCC’s 3rd Annual International Commodities Symposium, held at the University of Colorado (CU) Denver Business School. Regarding the latter conference, the Research Director especially thanked the CU Denver’s senior leadership team for their support of the JPMCC and its international commodities symposium.