A Feedback Model for the Financialization of Commodity Markets
نویسندگان
چکیده
منابع مشابه
A Feedback Model for the Financialization of Commodity Markets
Recent empirical studies find evidence of commodity prices moving more in sync with financial markets throughout the 2000s, and in contrast to previously. This increased correlation is called the financialization of commodity markets and is conjectured to be due to the influx of external (portfolio optimizing) traders through commodity index funds, for instance. We build a feedback model to try...
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15 صفحه اولCommodity Financialization: Risk Sharing and Price Discovery in Commodity Futures Markets
We theoretically study how commodity financialization affects trading behavior, prices and welfare through affecting risk sharing and price discovery in futures markets. In our model, the general equilibrium feature makes financial traders either provide or demand liquidity in the futures market, depending on the information environment. Consistent with recent evidence, commodity financializati...
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In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of distressed investors selling both assets during the 2007-2009 financial crisis. We show that financial di...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/140995349