Commodity Markets Winter Workshop 2020

Program

Sunday February 23

• 7:00 p.m. – Welcome and registration (Bistro Nordik)

Monday February 24

7:00 to 8:30 a.m. – Breakfast (Beauregard Room)

8:30 a.m. – Session 1: Commodities, currencies and investments (Beaupré Room)
Session Chair: Marie-Hélène Gagnon, FSA ULaval, Université Laval and CRREP

1. Sheep in Wolves’ Clothing: Using False Signals of Demand to Execute a Market Power Manipulation
   Craig Pirrong (University of Houston, Bauer College of Business)
2. Crude Oil Price Movements and Institutional Traders
   Celso Brunetti (Federal Reserve Board), Jeffrey H. Harris (American University), and Bahattin Büyükşahin (Abu Dhabi Investment Authority)
3. Commodity Prices and Currencies
   Alexandre Jeanneret and Valeri Sokolovski (HEC Montreal)

9:45 a.m. – Coffee break (Beaupré Room)

10:05 a.m. – Session 2: Financialization of commodities (Beaupré Room)
Session Chair: Gabriel Power, FSA ULaval, Université Laval and CRREP

1. Determinants of Corporate Commodity Exposure: International Evidence
   Elaine Laing, Brian Lucey and Samuel Vigne (Trinity Business School, Trinity College Dublin)
2. Optimal Portfolios of Commodity Futures
   Xiang Li, Antony Ware (University of Calgary) and Gordana Dmitrašinovic-Vidovic (University of Lethbridge, Calgary Campus)
3. Untangling Systemic Risk in Financialized Commodity Markets
   Julien Ling, PSL-Université Paris-Dauphine

11:20 a.m. – Lunch break (Beaupré Room)

5:45 p.m. – Snacks (Bistro Nordik)

6:15 p.m. – Session 3: Renewables (Beaupré Room)
Session Chair: Marcel Prokopczuk, Leibniz University Hanover

1. The bigger, the better?
   Alexander Kronies (Copenhagen Business School)
2. A Model of Price Correlations between Clean Energy Indices and Energy Commodities
   Takashi Kanamura (Kyoto University)
3. Impact of Time-Varying Intensity of Jumps on Forecasting Electricity Prices
   Maciej Kostrzewski and Jadwiga Kostrzewska (Cracow University of Economics)

7:30 p.m. – Group dinner (Bistro Nordik)

Tuesday February 25

7:00 to 8:30 a.m. – Breakfast (Beauregard Room)

8:30 a.m. – Session 4: Real options and commodities (Beaupré Room)
Session Chair: Kevin Moran, Université Laval Economics Dept and CRREP

1. Sequential Investment in Gas Fired Power Plants
   Kristoffer Ingebrigtsen, Jonas Aase Kaldahl, Stein-Erik Fleten, Tord Olsen (Norwegian University of Science & Technology) and Carl J. Ullrich (James Madison University)
2. Real Options in the Ethanol Industry: Valuation, Optimal Operation and Empirical Evidence
   Matt Davison (Western University) and Nicolas Merener (Universidad Torcuato Di Tella)
3. Capital Investment and Variance Risk Premia
   Jan Ericsson and Babak Lotfaliei (McGill University, Desautels School of Management)

9:45 a.m. – Coffee break (Beaupré Room)

10:05 a.m. – Session 5: Energy markets (Beaupré Room)
Session chair: Stein-Erik Fleten, Norwegian University of Science & Technology

1. The Simple Economics of Global Fuel Consumption
   Doga Bilgin (University of British Columbia) and Reinhard Ellwanger (Bank of Canada)
2. Regime Switching in the Energy Market Volatility: The Role of Economic Policy Uncertainty
   Alexandre R. Scarcioffolo and Xiaoli L. Etienne (West Virginia University)
3. Relationships and Dynamics between Ethanol and Gasoline Prices in Brazil
   Janelle Mann (University of Manitoba)

11:20 p.m. – Lunch break (Beaupré Room)

5:45 p.m. – Snacks (Bistro Nordik)

6:15 p.m. – Session 6: Agricultural commodities and hedging (Beaupré Room)
Session Chair: Hsuan Fu, FSA ULaval, Université Laval

1. News Announcements and Price Discovery in Agricultural Futures Markets
   Mehdi Arzandeh (Lakehead University), Julieta Frank and Yu Wu (University of Manitoba)
2. Wheat Price Volatility over 140 Years: An Analysis of Daily Price Ranges
   Marco Haase, Matthias Hussy and Heinz Zimmermannz (University of Basel)
3. Hedging Effectiveness for Canadian Wheat Farmers
   Jonathon Driedger, Lysa Porth and Milton Boyd (University of Manitoba)
4. Revisited hedging and rollover measures: an empirical application to Euronext’s wheat derivatives
   Narjiss Araba and Alain François-Heude (University of Montpellier)

7:30 p.m. – Group dinner (Bistro Nordik)

Call for papers

Deadline for paper submission: November 30, 2019
Click here to download the PDF.

Organizing committee

• Marie-Hélène Gagnon, Université Laval, Quebec City, Canada
• Gabriel J. Power, Université Laval, Quebec City, Canada
• Marcel Prokopczuk, Leibniz University Hannover, Editor, Journal of Commodity Markets
• Sjur Westgaard, Norwegian University of Science & Technology, Editor, Journal of Commodity Markets

All activities will take place at

Château Mont Ste-Anne
500, boulevard du Beau Pré
Beaupré (Québec) G0A 1E0
CANADA

Château Mont Ste-Anne is located 45 minutes from Quebec City.
The preferred means of transport to get there is by car.

Official Conference Hotel
Château Mont Ste-Anne
500, boulevard du Beau Pré
Beaupré, Québec G0A 1E0
CANADA
www.chateaumontsainteanne.com

The cost of your accommodation is not included in the Conference registration fees.
Preferential room rates start at CAN$199 per night plus taxes.
Use the confirmation number 9588 when making reservation.
Château Mont Ste-Anne must be contacted no later than January 23, 2020 to be given the group discount room rate.
Rooms are based on availability and may sell out prior to the cut-off date.

https://www.chateaumontsainteanne.com/reservation/#/room or 1-800-463-4467 or info@chateaumsa.com

Getting to Québec City

By plane

People flying to the Conference must make sure that their final destination is Québec City Jean Lesage International Airport (YQB). For all flight options to and from Québec City, please refer to the list of destinations served by the Québec City-Jean-Lesage International Airport or the Air Accessibility Chart.

By car

Highway 20 (autouroute Jean-Lesage) runs along the south shore of the St. Lawrence River, and Highway 40 (autoroute Félix-Leclerc) is the north shore access to the city.

By motor coach

Fédération des transporteurs par autobus – Intercity Transit
Accessible to all, the intercity transportation network consists of 222 intercity bus stations throughout Québec for efficient, timely travel.
Website

Intercar
Intercar links Québec City with Saguenay, Lac-Saint-Jean, Charlevoix, and all destinations along the North Shore (Côte-Nord).
Website

Orléans Express
Orléans Express Coach Lines provide daily service between Québec City, Montréal, and other destinations in the province.
Website

Greyhound
Visitors travelling by motor coach from the USA come into Montréal via Greyhound, then transfer to an Orléans Express motor coach to Québec City.
Website

Québec City intercity bus stations

Gare du Palais Bus Terminal
320, rue Abraham-Martin, Québec
418-525-3000

Sainte-Foy Terminal
3001, chemin des Quatre-Bourgeois, borough of Sainte-Foy–Sillery–Cap-Rouge
418-650-0087

By train

Visitors traveling by train from the USA come into Montréal via Amtrak, then transfer to VIA Rail Canada trains to Québec City.

VIA Rail Canada
Daily VIA Rail Canada service between Toronto, Ottawa, Montréal and Québec City.
1-888-842-7245 | Website

Amtrak
1-800-USA-RAIL (1-800-872-7245) | Website

Québec City train stations

Gare du Palais (central station)
450, rue de la Gare-du-Palais, Québec
1-888-842-7245

Gare de Sainte-Foy
3255, chemin de la Gare, borough of Sainte-Foy–Sillery–Cap-Rouge
1-888-842-7245

Entry requirement in Canada

New entry requirements are now in effect in Canada. All foreigners other than U.S. citizens are now expected to have either an Electronic Travel Authorization (eTA) or a visitor visa to enter Canada.

Be prepared:

1. Find out if you need an eTA or a visa

2. If you need an eTA (EU citizens, for example): Apply for an eTA before you book your flight to Canada. Most applicants get approved within minutes. However, some applications can take several days to process, so don’t wait until the last minute.

3. If you need a visitor visa, note that a visa application may take several weeks or months to process. We recommend that you file your visa application as soon as possible, online, through Immigration, Refugees and Citizenship Canada’s website. You will be required to enclose an invitation letter from the organizers of the 2019 AFFI Conference with your application. To obtain this letter, you must without delay:

• register with the Conference and pay all Conference participation fees
• send an email request to evenements@fsa.ulaval.ca

Our University

Université Laval

• Founded in 1663, Université Laval is the oldest French-speaking university in North America and is the 6th most important in Canada
• 1.8 km square campus including 40 buildings connected by footpaths and more than 5 km of underground tunnels and green space
• An impressive library housing 6 million documents and thousands of electronic resources available online
• Near 500 regular, custom, continuing, and distance education programs
• 43,000 students, of whom 25% are Graduate students
• Vibrant and diverse community, with near 4,600 international students
• More than 1,600 fulltime Faculty members and 2,100 lecturers and other teaching and research staff
• 275 research centres, chairs, institutes and other groups
• $377M in research funds (ranking Université Laval sixth out of the top 50 research universities in Canada)
• Some 700 partnership agreements with some 500 universities in nearly 70 countries
• Over 230 student associations
• Nearly 270,000 graduates since the university’s founding

Faculty of Business Administration (FSA ULaval)

Since 1924, FSA ULaval has been training students to become competent and responsible managers and business specialists. Today, FSA ULaval is part of a select group of 80 Business Schools, out of more than 12,000 worldwide, to have obtained both the AACSB and EQUIS accreditations.

• More than 5,000 students, including more than 800 international students
• 135 professors and full-time lecturers ready to engage with students and whose research expertise is internationally renowned
• A dynamic network of more than 40,000 alumni in Canada and abroad
• Close connections with large international corporations and local SMEs
• State-of-the-art technological infrastructure
• A Canadian leader in hybrid and online-based education
• Partnerships with more than 100 world-renowned universities and management schools
• 23 world-class research chairs, centres and laboratories
• Outstanding student-athletes with our competitive Rouge et Or sports teams
• A vibrant student life with more than 20 student organizations

Weather

Find up-to-date weather information.

Visit Québec City and areas

Tourist advice from the Conference organizers

The Province of Québec and beyond

Québec City, on its own, is certainly worth a stay of three or four nights. However, the Province of Québec features many interesting places to visit. If you wish to explore the Province beyond Québec City and Montréal, be prepared to discover breathtaking landscapes, fascinating villages and friendly people. You will have to rent a car, however. Here are a number of possible itineraries.

Québec City

An authentic experience!

Québec City, a UNESCO World Heritage Treasure, is surrounded by gorgeous landscapes. Historical, cultural and outdoor activities, exquisite food as well as international events await. Old Québec and nature splendours, just minutes from town, are sumptuous in every season!

City districts

Québec City’s different districts reflect the lifestyles of their residents. They’ll be happy to share some local secrets with you! Here are a few neighborhoods to discover:

• Old Québec
• Petit-Champlain
• Place-Royale and Old Port
• Parliament Hill
• Saint-Jean
• Saint-Roch
• Old Limoilou
• Charlesbourg Heritage Site
• Sillery Heritage Site

Landmarks

Don’t miss Québec City’s most distinctive features:

• Faimont Le Château Frontenac Hotel
• Francophone Culture
• Fortifications
• Fountains
• Frescoes
• Grande Allée
• Stairways

The text and links above are taken from the Québec City Tourism website.

To discover

“Charlevoix” and the south shore

Charlevoix (north shore of the St-Lawrence river) is really worth seeing. It is about a 2-hour drive (route 138) from Québec City. It is certainly worth stopping at Baie-St-Paul and sleeping for one or two nights at La Malbaie (suggestion: the Manoir Richelieu). There are three subsequent alternatives:

1. Getting back to Québec City using the same road.

2. Taking the ferry from Saint-Siméon to Rivière-du-Loup. Rivière-du-Loup (south shore of the St-Lawrence river) is one of the areas in the world with the most beautiful sunsets (seriously). Whale watching tours are available. It is worth sleeping there for a night or two. When getting back to Québec City on Highway 20, make sure to stop in Kamouraska.

3. Continuing along route 138 to Tadoussac and sleeping there for one night. Whale watching tours are available. Then, you can head to Forestville and take a ferry to Rimouski (south shore of the St-Lawrence river). You can stay in Rimouski for a few nights (very nice sunsets as well). Make sure to visit the Parc du Bic as well as the Jardins de Métis – and the “Doors to Hell” (Portes de l’Enfer). You can then get back to Québec City on Highway 20/route 132.

Gaspé Peninsula

One of the nicest tourist itineraries is the “tour de la Gaspésie” (Gaspé Peninsula). Take Highway 20 then route 132. Plan to sleep for two nights in Rimouski, two nights at the Gîte du Mont-Albert (near Ste-Anne-des-Monts), two nights in Gaspé (Parc Forillon), two nights in Percé (the scenary there is just gorgeous; make sure to take the boat tour to Île Bonaventure), two nights in Carleton, then two nights in Rivière-du-Loup.

Beyond the Province of Québec

The Thousand-Islands area in Eastern Ontario is a world-renowned tourist destination. To get there, you first need to go to Montréal (this is a very lively city; you may want to spend a few days there) and then continue for about 2.5 hours on Highway 401 towards Toronto.

Another nice area to visit is the Maritime provinces. One nice and relaxing town is Shédiac, in New-Brunswick. It takes about 8 hours to get there from Québec City. Once there, you are very close to Prince-Edward Island. Cape Breton is also not that far away.

Useful links

• What to Do in Québec City?
• Québec City, photos and videos
• Free mobile application