Financial investors and cross-commodity markets integration

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2025-03-15 DOI:10.1016/j.jcomm.2025.100461

Mohammad Isleimeyyeh

引用次数: 0

Abstract

This article presents a model for investigating the linkages between commodity markets arising from the operation of financial investors. The model thus examines the interactions of the physical and futures markets of one commodity with those of another commodity. The framework allows the various prices (current spot, future spot, futures prices), quantities (inventory and committed demand by processors), and futures risk premiums for two commodities to be computed, thereby enabling the price relations for any two commodities to be analyzed. Through comparative statics, I identify (i) the impact of supply and demand shocks and (ii) financialization on commodity markets. Furthermore, the model demonstrates the role of cross-commodity correlation in determining the integration between commodity markets.

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金融投资者与跨商品市场一体化

本文提出了一个模型来研究金融投资者运作所产生的商品市场之间的联系。因此，该模型考察了一种商品的现货市场和期货市场与另一种商品的相互作用。该框架允许计算两种商品的各种价格（当前现货、未来现货、期货价格）、数量（加工商的库存和承诺需求）和期货风险溢价，从而能够分析任意两种商品的价格关系。通过比较统计，我确定了(I)供需冲击的影响和（ii）大宗商品市场的金融化。此外，该模型还证明了跨商品相关性在决定商品市场之间整合方面的作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.