NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Financialization in Commodity Markets

V.V. Chari, Lawrence Christiano

NBER Working Paper No. 23766
Issued in September 2017, Revised in December 2019
NBER Program(s):Economic Fluctuations and Growth

Recent experience has given rise to the financialization view: increased trading in commodity fuĀ­tures markets leads to an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities with and without futures markets. The data do not support the financialization view. We also find that futures returns are positively correlated with open interest and not correlated with net financial flows. The facts on spot and futures prices and volume necessitate a new view, which we develop, of the economic role of futures markets. Our model is consistent with the key facts.

download in pdf format
   (5083 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w23766

Users who downloaded this paper also downloaded* these:
Cheng and Xiong w19642 The Financialization of Commodity Markets
Berg and Mark w23764 Global Macro Risks in Currency Excess Returns
Diebold, Liu, and Yilmaz w23685 Commodity Connectedness
Stiglitz w23795 Where Modern Macroeconomics Went Wrong
Farhi and Tirole w23930 Shadow Banking and the Four Pillars of Traditional Financial Intermediation
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us