Financial investments and commodity prices

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-08-10 DOI:10.1111/irfi.12361

Peng Liu, Zhigang Qiu, David Xiaoyu Xu

引用次数: 1

Abstract

In this paper, we show that financial investments dilute the relationship between convenience yields (a proxy for fundamentals) and commodity prices. On average, the explanatory power of convenience yields on the movements of commodity prices decreased from 63% to 33% after 2004, when institutional investors rapidly started building their positions in commodity futures. We develop a model of the commodity market with financial investments and test the model predictions using futures prices of 21 US-traded commodities and index traders' positions on 12 agricultural commodities. Because of correlated financial demands for different commodity futures, we identify comovements in spot prices for fundamentally independent commodities.

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金融投资和商品价格

在本文中，我们表明金融投资稀释了便利收益率(基本面的代表)与商品价格之间的关系。2004年之后，机构投资者迅速开始建立大宗商品期货头寸，便利收益率对大宗商品价格走势的解释能力从63%下降到33%。我们开发了一个包含金融投资的商品市场模型，并使用21种美国交易商品的期货价格和指数交易商对12种农产品的头寸来测试模型预测。由于不同商品期货的相关金融需求，我们确定了基本独立商品的现货价格变动。

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

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.