NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Convective Risk Flows in Commodity Futures Markets

Ing-Haw Cheng, Andrei Kirilenko, Wei Xiong

NBER Working Paper No. 17921
Issued in March 2012

---- Acknowledgements -----

For helpful comments and encouragement, the authors would like to thank Bob Hodrick, Michael Johannes, Uday Rajan, Ken Singleton, Moto Yogo, and seminar participants at Columbia University, the Federal Reserve Board, Fordham University, and Princeton University. We thank Matt Baron and Philip Yan for research assistance. Xiong acknowledges financial support from Smith Richardson Foundation grant #2011-8691. The views expressed in this paper are our own and do not constitute an official position of the Commodity Futures Trading Commission, its commissioners, its staff, or the National Bureau of Economic Research.

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