Informational Frictions and Commodity Markets

• 成果类型: Article
• 署名作者: Sockin, Michael; Xiong, Wei
• 署名单位: University of Texas System; University of Texas Austin; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12261
• 发表日期: 2015
• 页码: 2063-2098
• 关键词: oil; financialization; feedback; futures; demand

摘要

This paper develops a model with a tractable log-linear equilibrium to analyze the effects of informational frictions in commodity markets. By aggregating dispersed information about the strength of the global economy among goods producers whose production has complementarity, commodity prices serve as price signals to guide producers' production decisions and commodity demand. Our model highlights important feedback effects of informational noise originating from supply shocks and futures market trading on commodity demand and spot prices. Our analysis illustrates the weakness common in empirical studies on commodity markets of assuming that different types of shocks are publicly observable to market participants.