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Michel A. Robe

University of Illinois at Urbana-Champaign

The Clearing Corporation Foundation Professor in Derivatives Trading

601 E John St

Champaign, IL 61820

United States

  • University of Illinois at Urbana-Champaign

SCHOLARLY PAPERS

34

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10,054

CITATIONS
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70

Scholarly Papers (34)

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1.

Fundamentals, Trader Activity and Derivative Pricing

EFA 2009 Bergen Meetings Paper
Number of pages: 56 Posted: 02 Mar 2007 Last Revised: 13 Feb 2009
Bahattin Buyuksahin, Michael S. Haigh, Jeffrey H. Harris, James A. Overdahl and Michel A. Robe
Bank of Canada, Standard Chartered Bank, American University, affiliation not provided to SSRN and University of Illinois at Urbana-Champaign
Downloads 1,382 (8,412)
Citation 14

Abstract:

Crude Oil Futures, Maturity, Segmentation, Cointegration, Trading Activity, Fundamentals

2.

Commodities and Equities: 'A Market of One'?

Number of pages: 47 Posted: 11 Dec 2007 Last Revised: 12 Nov 2009
Bahattin Buyuksahin, Michael S. Haigh and Michel A. Robe
Bank of Canada, Standard Chartered Bank and University of Illinois at Urbana-Champaign
Downloads 1,240 (11,127)
Citation 6

Abstract:

Commodities, Equities, Dynamic conditional correlations, DCC, Cointegration, Extreme-events correlations

3.

Speculators, Commodities and Cross-Market Linkages

Downloads 1,176 ( 13,598)
Citation 6

Speculators, Commodities and Cross-Market Linkages

Number of pages: 57 Posted: 13 Nov 2010 Last Revised: 14 Nov 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and University of Illinois at Urbana-Champaign
Downloads 1,176 (13,337)
Citation 6

Abstract:

Financialization, Cross-Market Linkages, Commodities, Equities, Hedge funds, Index funds, Dynamic conditional correlations (DCC)

Speculators, Commodities and Cross-Market Linkages

Journal of International Money and Finance, Vol. 42, 2014
Posted: 09 Jun 2014
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and University of Illinois at Urbana-Champaign

Abstract:

4.

Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements

Number of pages: 53 Posted: 30 May 2011 Last Revised: 07 Nov 2014
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and University of Illinois at Urbana-Champaign
Downloads 976 (14,644)
Citation 1

Abstract:

5.

The Impact of Illegal Insider Trading in Dealer and Specialist Markets

EFA 2001 Barcelona Meetings
Number of pages: 43 Posted: 11 Jul 2001
Raymond P.H. Fishe and Michel A. Robe
University of Richmond - E. Claiborne Robins School of Business and University of Illinois at Urbana-Champaign
Downloads 701 (28,545)
Citation 17

Abstract:

Insider Trading, Depth, Business Week, Specialist, Dealer Market

6.

Limited Liability Rules, Financial Innovation and Capital Structure Complexity

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Jan 2002
Michel A. Robe
University of Illinois at Urbana-Champaign
Downloads 579 (36,708)

Abstract:

Agency, Moral Hazard, Liability Rules, Optimal Capital Structure, Warrants as Financial Innovation

7.

How Costly Are Limited Liability Rules?

Number of pages: 39 Posted: 03 May 1999
Michel A. Robe
University of Illinois at Urbana-Champaign
Downloads 376 (63,198)
Citation 1

Abstract:

8.

Demutualization and Customer Protection at Self-Regulatory Financial Exchanges

Downloads 365 ( 66,874)
Citation 1

Demutualization and Customer Protection at Self-Regulatory Financial Exchanges

Journal of Futures Markets, Forthcoming, EFA 2007 Ljubljana Meetings Paper
Number of pages: 42 Posted: 01 Mar 2007 Last Revised: 01 May 2010
David Reiffen and Michel A. Robe
U.S. Commodity Futures Trading Commission (CFTC) and University of Illinois at Urbana-Champaign
Downloads 365 (66,248)
Citation 1

Abstract:

Demutualization, Ownership structure, SRO, Regulation of financial exchanges, Enforcement delegation, Customer protection

Demutualization and Customer Protection at Self-Regulatory Financial Exchanges

Journal of Futures Markets, Vol. 31, No. 2, pp. 126-164, February 2011.
Posted: 04 May 2010 Last Revised: 19 Jan 2011
David Reiffen and Michel A. Robe
U.S. Commodity Futures Trading Commission (CFTC) and University of Illinois at Urbana-Champaign

Abstract:

Demutualization, Ownership structure, Regulation of financial exchanges, Enforcement delegation, Trade practice Rules, Broker heterogeneity

9.

Do OPEC Members Know Something the Market Doesn’t? ‘Fair Price’ Pronouncements and the Market Price of Crude Oil

Number of pages: 35 Posted: 06 Aug 2010 Last Revised: 15 Mar 2015
Bahattin Buyuksahin, Celso Brunetti, Michel A. Robe and Kirsten R. Soneson
Bank of Canada, Board of Governors of the Federal Reserve System, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)
Downloads 321 (64,590)
Citation 1

Abstract:

Crude oil, OPEC, Fair price, Announcement, Market price, Event study, Kalman filter, Autoregressive Distributed Lag (ADL)

10.

Fundamentals, Derivatives Market Information and Oil Price Volatility

Downloads 303 ( 83,003)

Fundamentals, Derivatives Market Information and Oil Price Volatility

Number of pages: 47 Posted: 05 Oct 2014 Last Revised: 20 May 2015
Michel A. Robe and Jonathan Wallen
University of Illinois at Urbana-Champaign and American University
Downloads 303 (82,501)

Abstract:

Crude oil, Implied volatility, VIX, Output constraints, Inventories, Speculation

Fundamentals, Derivatives Market Information and Oil Price Volatility

Journal of Futures Markets, Vol. 36, No. 4, April 2016
Posted: 09 Jun 2015 Last Revised: 10 Feb 2016
Michel A. Robe and Jonathan Wallen
University of Illinois at Urbana-Champaign and American University

Abstract:

Implied volatility, Satellite market, Crude oil, VIX, Physical market, Output constraints, Inventories, Speculation

11.

On the Welfare Cost of Business Cycles in Developing Countries

Number of pages: 20 Posted: 10 Sep 2001
Michel A. Robe and Stephane Pallage
University of Illinois at Urbana-Champaign and University of Quebec at Montreal - Department of Economics
Downloads 280 (86,254)
Citation 4

Abstract:

12.

Penalties and Optimality in Financial Contracts: Taking Stock

Number of pages: 50 Posted: 14 Jan 2006
Michel A. Robe, Eva-Maria Steiger and Pierre-Armand Michel
University of Illinois at Urbana-Champaign, Max Planck Institute of Economics, Strategic Interaction Group and University of Liege - HEC Management School
Downloads 242 (100,298)
Citation 4

Abstract:

Limited Liability, Bankruptcy, Debt Bondage, Debtors' Prison, History

13.

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Downloads 235 (108,816)
Citation 3

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Number of pages: 23 Posted: 05 Apr 2005
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign
Downloads 235 (108,328)
Citation 3

Abstract:

Heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based model, risk aversion, equity premium puzzle

Market Incompleteness and the Equity Premium Puzzle: Evidence from State-Level Data

Journal of Banking & Finance, Vol. 37, No. 2, pp. 378-388, 2013
Posted: 15 Jan 2013
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign

Abstract:

heterogeneity, idiosyncratic consumption risk, incomplete markets, consumption-based asset pricing model, risk aversion, equity premium puzzle

14.

The Financialization of Food?

Downloads 221 (115,596)

The Financialization of Food?

Number of pages: 50 Posted: 17 Mar 2015 Last Revised: 10 Feb 2016
Valentina Bruno, Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate, Bank of Canada and University of Illinois at Urbana-Champaign
Downloads 221 (115,128)

Abstract:

Financialization, Fundamentals, Grains, Livestock, Equities, Co-movements, ADCC, Structural VAR

The Financialization of Food?

American Journal of Agricultural Economics 99 (1): 243-264, January 2017
Posted: 22 Oct 2016 Last Revised: 20 Sep 2017
Valentina Bruno, Bahattin Buyuksahin and Michel A. Robe
American University - Department of Finance and Real Estate, Bank of Canada and University of Illinois at Urbana-Champaign

Abstract:

Financialization, Fundamentals, Grains, Livestock, Equities

15.

Does it Matter Who Trades Energy Derivatives?

Downloads 219 (116,625)

Does it Matter Who Trades Energy Derivatives?

FEEM (Fondazione Eni Enrico Mattei), Review of Environment, Energy and Economics (Re3), March 2012
Number of pages: 7 Posted: 28 Mar 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and University of Illinois at Urbana-Champaign
Downloads 131 (184,360)

Abstract:

Financial Institutions, Energy Derivatives, Speculation, Financialization, Cross-Market Linkages

Does it Matter Who Trades Energy Derivatives?

Review of Environment, Energy and Economics, March 2012
Number of pages: 8 Posted: 28 Mar 2012 Last Revised: 01 May 2012
Bahattin Buyuksahin and Michel A. Robe
Bank of Canada and University of Illinois at Urbana-Champaign
Downloads 88 (246,101)

Abstract:

Financial Institutions, Energy Derivatives, Speculation, Financialization, Cross-Market Linkages

16.

Electronic Market Makers, Trader Anonymity and Market Fragility

Number of pages: 38 Posted: 03 Jun 2014
Vikas Raman, Michel A. Robe and Pradeep K. Yadav
University of Warwick - Finance Group, University of Illinois at Urbana-Champaign and University of Oklahoma Price College of Business
Downloads 218 (73,656)

Abstract:

Voluntary market-making, Electronic trading, HFT, Liquidity provision under stress

17.

The States vs. the states: On the Welfare Cost of Business Cycles in the U.S.

Number of pages: 23 Posted: 10 Oct 2002
Michel A. Robe and Stephane Pallage
University of Illinois at Urbana-Champaign and University of Quebec at Montreal - Department of Economics
Downloads 129 (184,922)
Citation 1

Abstract:

Business Cycles, Regional Volatility, Growth, Welfare

18.

The Welfare Costs of Macroeconomic Fluctuations under Incomplete Markets: Evidence from State-Level Consumption Data

CIRPEE Working Paper No. 05-24
Number of pages: 26 Posted: 24 Aug 2005
Kris Jacobs, Stephane Pallage and Michel A. Robe
University of Houston - C.T. Bauer College of Business, University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign
Downloads 100 (215,555)

Abstract:

Incomplete markets, consumption volatility, growth, welfare

19.

On the Potential of Foreign Aid as Insurance

Number of pages: 20 Posted: 20 Jul 2006
Michel A. Robe, Stephane Pallage and Catherine Berube
University of Illinois at Urbana-Champaign, University of Quebec at Montreal - Department of Economics and Ontario Ministry of Finance
Downloads 80 (251,376)
Citation 11

Abstract:

Macroeconomic fluctuations, Welfare, Foreign aid, Consumption smoothing

20.

Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices

Number of pages: 35 Posted: 30 Apr 2014 Last Revised: 10 Dec 2014
Delphine Lautier, Franck Raynaud and Michel A. Robe
University Paris Dauphine, University Paris Dauphine and University of Illinois at Urbana-Champaign
Downloads 69 (201,808)

Abstract:

Information flows, Term structure, Entropy, Directed graphs, Futures, WTI

21.

Foreign Central Bank Activities in U.S. Futures Markets

Downloads 67 (286,650)

Foreign Central Bank Activities in U.S. Futures Markets

Number of pages: 54 Posted: 12 Sep 2014
Raymond P.H. Fishe, Michel A. Robe and Aaron Smith
University of Richmond - E. Claiborne Robins School of Business, University of Illinois at Urbana-Champaign and University of California, Davis - Department of Agricultural and Resource Economics
Downloads 67 (289,959)

Abstract:

Central Banks, Reserve management, Interest-rate derivatives, Hedging, Speculation, Financial crisis, Synchronized trading

Foreign Central Bank Activities in U.S. Futures Markets

Journal of Futures Markets, Vol. 36, No. 1, pp. 3-29, January 2016
Posted: 09 Jun 2015 Last Revised: 10 Feb 2016
Raymond P.H. Fishe, Michel A. Robe and Aaron Smith
University of Richmond - E. Claiborne Robins School of Business, University of Illinois at Urbana-Champaign and University of California, Davis - Department of Agricultural and Resource Economics

Abstract:

Central Banks, Reserve management, Interest-rate derivatives, Hedging, Speculation, Financial crisis, Synchronized trading

22.

Counterpart Funds and the Foreign Aid Procyclicality Puzzle

Number of pages: 23 Posted: 16 Jan 2015
Stephane Pallage and Michel A. Robe
University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign
Downloads 43 (322,227)

Abstract:

Foreign aid, Adverse selection, Contracts, Matching grants, Capital flows, Business cycles

23.

Counterpart Funding Requirements and the Foreign Aid Procyclicality Puzzle

Oxford Review of Public Policy, Vol. 31, No. 3-4, pp. 462-80, Fall-Winter 2015
Posted: 11 Feb 2016
Stephane Pallage and Michel A. Robe
University of Quebec at Montreal - Department of Economics and University of Illinois at Urbana-Champaign

Abstract:

Foreign aid, Adverse selection, Contracts, Counterpart funding requirements, Matching grants, Capital flows, Business cycles

24.

Physical Markets, Paper Markets and the WTI-Brent Spread

Energy Journal, Vol. 34, No. 3, 2013
Posted: 07 Oct 2013
Bahattin Buyuksahin, Thomas K Lee, James T. Moser and Michel A. Robe
Bank of Canada, Energy Information Administration - US DOE, American University - Kogod School of Business and University of Illinois at Urbana-Champaign

Abstract:

Crude Oil, Brent, WTI, LLS, Spread, Fundamentals, Inventories, Cushing, Paper Markets, Commodity Index Trading (CIT)

25.

OPEC 'Fair Price' Pronouncements and the Market Price of Crude Oil

Energy Journal, Vol. 34, No. 4, 2013
Posted: 17 Nov 2012 Last Revised: 06 Oct 2013
Celso Brunetti, Bahattin Buyuksahin, Michel A. Robe and Kirsten R. Soneson
Board of Governors of the Federal Reserve System, Bank of Canada, University of Illinois at Urbana-Champaign and Commodity Futures Trading Commission (CFTC)

Abstract:

Crude oil, OPEC, Fair price, Market price, Event study, Autoregressive Distributed Lag (ADL)

26.

Commodities and Equities: Ever a 'Market of One'?

Journal of Alternative Investments, Vol. 12, No. 3, Winter 2010
Posted: 14 Nov 2009
Bahattin Buyuksahin, Michael S. Haigh and Michel A. Robe
Bank of Canada, Standard Chartered Bank and University of Illinois at Urbana-Champaign

Abstract:

Commodity, Equity, DCC, Cointegration, Extreme events

27.

The Potential of Foreign Aid as Insurance

IMF Staff Papers, Vol. 53, No. 4, October 2006
Posted: 18 Jul 2006
Stephane Pallage, Michel A. Robe and Catherine Berube
University of Quebec at Montreal - Department of Economics, University of Illinois at Urbana-Champaign and Ontario Ministry of Finance

Abstract:

Macroeconomic fluctuations, Welfare, Foreign aid, Consumption smoothing

28.

The Impact of Illegal Insider Trading in Dealer and Specialist Markets: Evidence from a Natural Experiment

Journal of Financial Economics, Vol.71, No.3, pp. 461-88, March 2004
Posted: 29 Aug 2003
Raymond P.H. Fishe and Michel A. Robe
University of Richmond - E. Claiborne Robins School of Business and University of Illinois at Urbana-Champaign

Abstract:

Insider Trading, Depth, Liquidity, Specialist and Dealer Markets

29.

On the Welfare Cost of Economic Fluctuations in Developing Countries

International Economic Review, Vol. 44, No. 2, May 2003
Posted: 13 Sep 2002
Michel A. Robe and Stephane Pallage
University of Illinois at Urbana-Champaign and University of Quebec at Montreal - Department of Economics

Abstract:

Volatility, Welfare Cost, Business Cycles, Developing Countries, Africa

30.

What Can We Learn from Simulating a Standard Agency Model?

Economics Letters, Vol. 73, No. 2, November 1, 2001
Posted: 07 Jan 2002
Michel A. Robe
University of Illinois at Urbana-Champaign

Abstract:

Moral Hazard, Numerical Analysis, Reduced-Form Equation, Limited Liability, Performance target

31.

Dividend Signaling Costs: Coarse Vs. Separating Equilibria

Posted: 26 Aug 1999
Michel A. Robe
University of Illinois at Urbana-Champaign

Abstract:

32.

Optimal Versus Traditional Securities Under Moral Hazard

Journal of Financial and Quantitative Analysis, Vol. 34, No. 2, June, 1999
Posted: 22 Mar 1999 Last Revised: 13 Nov 2009
Michel A. Robe
University of Illinois at Urbana-Champaign

Abstract:

33.

Foreign Aid and the Business Cycle

Downloads 0 (565,313)

Foreign Aid and the Business Cycle

CREFE Research Paper No. 63
Posted: 19 Sep 1998
Michel A. Robe and Stephane Pallage
University of Illinois at Urbana-Champaign and University of Quebec at Montreal - Department of Economics

Abstract:

Foreign Aid and the Business Cycle

Review of International Economics, Vol. 9, No. 4, November 2001
Posted: 18 Jan 2002
Michel A. Robe and Stephane Pallage
University of Illinois at Urbana-Champaign and University of Quebec at Montreal - Department of Economics

Abstract:

Foreign aid, business cycles, volatility, empirical regularities

34.

The Dollar's 'Convenience Yield'

Number of pages: 7 Posted: 21 Sep 2017
Michel A. Robe
University of Illinois at Urbana-Champaign
Downloads 0

Abstract:

CIP, Cross-Currency Basis, Scarcity, Convenience Yield, Commodities

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