Commodities as Collateral
研究了在资本管制和抵押约束下，投资者进口商品并用作抵押品以获取更高预期收益的机制，发现抵押需求推高商品价格并改变库存与便利收益的关系，用中国和发达市场的八种商品数据验证了理论。
We propose and test a theory of using commodities as collateral for financing. Under capital control and collateral constraint, investors import commodities and pledge them as collateral to earn higher expected returns. Higher collateral demands increase commodity prices and make the inventory–convenience yield relation less negative. Our model illustrates these equilibrium effects and suggests that the violation of covered interest-rate parity is a proxy for collateral demands. Evidence from eight commodities in China and developed markets supports the theoretical predictions. Our findings complement the theory of storage and provide new insights into the financialization of commodity markets. Received July 16, 2015; accepted April 7, 2016 by Editor Stefan Nagel.