Artikel
Financialization, common stochastic trends, and commodity prices
Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investorsʼ positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger‐causality testing, find no relationship between financialization and commodity prices. We examine the effects of shocks to the common stochastic trends in the index positions, the spot and futures prices of Chicago corn and soybeans, WTI crude oil and Henry Hub natural gas. The results show that financialization has contributed to the price movements of these commodities.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Futures Markets ; ISSN: 1096-9934 ; Volume: 41 ; Year: 2021 ; Issue: 12 ; Pages: 1988-2008
- Classification
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Wirtschaft
- Subject
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commodities
common trends
financialization
futures prices
index investors
spot prices
- Event
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Geistige Schöpfung
- (who)
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Kupabado, Moses M.
Kaehler, Juergen
- Event
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Veröffentlichung
- (who)
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Wiley
- (where)
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Hoboken, NJ
- (when)
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2021
- DOI
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doi:10.1002/fut.22269
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Kupabado, Moses M.
- Kaehler, Juergen
- Wiley
Time of origin
- 2021
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