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A Model of Financialization of Commodities
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| The Journal of Finance | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : 2016 |
|---|---|
| Edisi | Vol. 71, Number 4, Aug. 2016 |
| Subjek | Commodities Economic models Hedging Market integration Financialization Investor behavior price dynamics |
| ISBN/ISSN | 00221082 |
| Klasifikasi | NONE |
| Deskripsi Fisik | p. 1511-1556 |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |