A Model of Financialization of Commodities
研究了机构投资者进入商品期货市场（即商品金融化）如何影响商品价格，发现金融化推高了所有商品期货价格、波动率和相关性，尤其对指数期货影响更大，并导致股权-商品相关性上升。
ABSTRACT We analyze how institutional investors entering commodity futures markets, referred to as the financialization of commodities, affect commodity prices. Institutional investors care about their performance relative to a commodity index. We find that all commodity futures prices, volatilities, and correlations go up with financialization, but more so for index futures than for nonindex futures. The equity‐commodity correlations also increase. We demonstrate how financial markets transmit shocks not only to futures prices but also to commodity spot prices and inventories. Spot prices go up with financialization, and shocks to any index commodity spill over to all storable commodity prices.