金融化
期货合约
经济
商品
康坦戈
金融经济学
索引(排版)
商品池
衡平法
货币经济学
财务
市场流动性
计算机科学
被动管理
基金基金
万维网
法学
政治学
作者
Suleyman Basak,Anna Pavlova
摘要
ABSTRACT 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.
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