A Model of Financialization of Commodities

• 成果类型: Article
• 署名作者: Basak, Suleyman; Pavlova, Anna
• 署名单位: University of London; London Business School; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12408
• 发表日期: 2016
• 页码: 1511-1556
• 关键词: asset prices; futures; RISK; fundamentals; CURVES

摘要

We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. The equity-commodity correlations also increase. We demonstrate how financial markets transmit shocks not only to futures prices but also to commodity spot prices and inventories. Spot prices go up with financialization, and shocks to any index commodity spill over to all storable commodity prices.