Financialization of Commodity Markets

被引:400
作者
Cheng, Ing-Haw [1 ]
Xiong, Wei [2 ,3 ,4 ]
机构
[1] Dartmouth Coll, Tuck Sch Business, Hanover, NH 03755 USA
[2] Princeton Univ, Dept Econ, Princeton, NJ 08540 USA
[3] Princeton Univ, Bendheim Ctr Finance, Princeton, NJ 08540 USA
[4] Natl Bur Econ Res, Cambridge, MA 02138 USA
来源
ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 6 | 2014年 / 6卷
关键词
financialization; speculation; hedging; risk sharing; information discovery; STOCHASTIC CONVENIENCE YIELD; FUTURES PRICES; HEDGING PRESSURE; SUPPLY SHOCKS; INDEX FUNDS; RISK; US; EQUILIBRIUM; INFORMATION; SPECULATION;
D O I
10.1146/annurev-financial-110613-034432
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
The large inflow of investment capital to commodity futures markets in the past decade has generated a heated debate about whether financialization distorts commodity prices. Rather than focusing on the opposing views concerning whether investment flows caused a price bubble, we critically review academic studies through the perspective of how financial investors affect risk sharing and information discovery in commodity markets. We argue that financialization has substantially changed commodity markets through these mechanisms.
引用
收藏
页码:419 / 441
页数:23
相关论文
共 108 条
[1]   Limits to arbitrage and hedging: Evidence from commodity markets [J].
Acharya, Viral V. ;
Lochstoer, Lars A. ;
Ramadorai, Tarun .
JOURNAL OF FINANCIAL ECONOMICS, 2013, 109 (02) :441-465
[2]   WHAT DO WE LEARN FROM THE PRICE OF CRUDE OIL FUTURES? [J].
Alquist, Ron ;
Kilian, Lutz .
JOURNAL OF APPLIED ECONOMETRICS, 2010, 25 (04) :539-573
[3]   Sentiments [J].
Angeletos, George-Marios ;
La'O, Jennifer .
ECONOMETRICA, 2013, 81 (02) :739-779
[4]   The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics [J].
Angrist, Joshua D. ;
Pischke, Joern-Steffen .
JOURNAL OF ECONOMIC PERSPECTIVES, 2010, 24 (02) :3-30
[5]  
[Anonymous], NEW YORK TIMES 0410
[6]  
[Anonymous], 2010, International Dimensions of Monetary Policy, DOI DOI 10.7208/CHICAGO/9780226278872.003.0008
[7]  
[Anonymous], 2008, MANAGEMENT SCI
[8]  
[Anonymous], 2006, ASSET PRICES MONETAR
[9]  
[Anonymous], 2010, J APPL FINANCE
[10]  
[Anonymous], STOCHASTIC MODELS OP