Financialization, common stochastic trends, and commodity prices

Language
en
Document Type
Article
Issue Date
2022-03-21
First published
2021-11-09
Issue Year
2021
Authors
Kupabado, Moses M.
Kaehler, Juergen
Editor
Publisher
Wiley Periodicals LLC.
Abstract

Abstract 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.

Journal Title
Journal of Futures Markets
Volume
41
Issue
12
Citation
The Journal of Futures Markets 41.12 (2021): S. 1988-2008. <https://onlinelibrary.wiley.com/doi/10.1002/fut.22269>
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