Commodity Financialization and Information Transmission

• 成果类型: Article
• 署名作者: GOLDSTEIN, I. T. A. Y.; YANG, L. I. Y. A. N.
• 署名单位: University of Pennsylvania; University of Toronto; Peking University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13165
• 发表日期: 2022
• 页码: 2613-2667
• 关键词: FUTURES PRICES; rational-expectations; market liquidity; hedging pressure; OIL; speculation; INVESTMENT; RISK; disclosure; GROWTH

摘要

We provide a model to understand the effects of commodity futures financialization on various market variables. We distinguish between financial speculators and financial hedgers and study their separate and combined effects on the informativeness of futures prices, the futures price bias, the comovement of futures prices with other markets, and the predictiveness of financial trading. We capture the interactions between commodity futures financialization and the real economy through spot prices and production decisions. A dynamic extension illustrates how key variables change over time in a period of acute financialization in a way that is consistent with observed empirical patterns.