Informational Frictions and Commodity Markets
---- Acknowledgements -----
This paper supersedes an earlier paper circulated under the title "Feedback Effects of Commodity Futures Prices." We wish to thank Thierry Foucault, Lutz Kilian, Jennifer La'O, Matteo Maggiori, Joel Peress, Ken Singleton, Kathy Yuan, and seminar participants at Asian Meeting of Econometric Society, Bank of Canada, Chicago, Columbia, Emory, HEC-Paris, INSEAD, NBER Meeting on Economics of Commodity Markets, Princeton, the 6th Annual Conference of the Paul Woolley Center of London School of Economics, and Western Finance Association Meetings for helpful discussion and comments. We are especially grateful to Bruno Biais, an Associate Editor, and three referees for many constructive suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.