Commodities as Collateral

• 成果类型: Article
• 署名作者: Tang, Ke; Zhu, Haoxiang
• 署名单位: Tsinghua University; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw029
• 发表日期: 2016
• 页码: 2110
• 关键词: NORMAL BACKWARDATION; hedging pressure; FUTURES MARKETS; Price dynamics; RISK PREMIUMS; financialization; returns; MODEL; equilibrium; INVESTMENT

摘要

We propose and test a theory of using commodities as collateral for financing. Under capital control and collateral constraint, investors import commodities and pledge them as collateral to earn higher expected returns. Higher collateral demands increase commodity prices and make the inventory- convenience yield relation less negative. Our model illustrates these equilibrium effects and suggests that the violation of covered interest- rate parity is a proxy for collateral demands. Evidence from eight commodities in China and developed markets supports the theoretical predictions. Our findings complement the theory of storage and provide new insights into the financialization of commodity markets.