The Financialization of Storable Commodities

• 成果类型: Article
• 署名作者: Baker, Steven D.
• 署名单位: University of Virginia
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3445
• 发表日期: 2021
• 页码: 471-499
• 关键词: finance; asset pricing; portfolio; industries; petroleum-natural gas

摘要

I solve a dynamic equilibrium model of commodity spot and futures prices, incorporating an active futures market, heterogeneous risk-averse participants, and storage. When calibrated to data from the crude oil market, the model implies that financialization reduces the futures risk premium and increases correlation between futures open interest and the spot price level. However, there is no long-run increase in the mean spot price, and speculative storage generally attenuates financialization's effect on spot price volatility. Therefore, financialization's effect on spot price dynamics through storage arbitrage is likely modest, even if futures positions and risk premia are substantially altered.