Commodity Market Linkages in the Global Financial Crisis: Excess Volatility and Development Impacts
研究了金融与大宗商品市场互动如何成为全球金融危机向发展中国家传导的快速通道，指出市场流动性周期导致价格过度波动，削弱了期货市场的价格发现和风险对冲功能，并探讨了过度波动的发展影响及创新价格稳定机制。
Abstract This article examines how the increased interactions of financial and commodity markets have served as one fast transmission channel of the global financial crisis to the developing world. It suggests that a significant portion of the closely synchronised price dynamics in commodity and financial markets is explained by market liquidity cycles in global finance, as financial investors manage their portfolio at ease through ‘virtual’ stock holdings of commodities in derivatives dealings and markets. The article further argues that this has generated price volatility well in excess of what could be explained in demand-supply fundamentals, and that under such conditions futures markets would cease to perform their intended functions – that of price discovery and risk hedging for physical commodity stakeholders. It explores the development impacts of excess price volatility and the case for innovative price stabilisation mechanisms.