金融投资和商品价格

IF 1.8 4区经济学 Q2 BUSINESS, FINANCE

International Review of Finance Pub Date : 2021-08-10 DOI:10.1111/irfi.12361

Peng Liu, Zhigang Qiu, David Xiaoyu Xu

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引用次数: 1

摘要

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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Financial investments and commodity prices

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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来源期刊

International Review of Finance BUSINESS, FINANCE-

CiteScore

3.30

自引率

5.90%

发文量

期刊介绍： The International Review of Finance (IRF) publishes high-quality research on all aspects of financial economics, including traditional areas such as asset pricing, corporate finance, market microstructure, financial intermediation and regulation, financial econometrics, financial engineering and risk management, as well as new areas such as markets and institutions of emerging market economies, especially those in the Asia-Pacific region. In addition, the Letters Section in IRF is a premium outlet of letter-length research in all fields of finance. The length of the articles in the Letters Section is limited to a maximum of eight journal pages.