New Evidence on the Financialization of Commodity Markets
利用大宗商品挂钩票据的新数据集，研究金融投资者资金流对期货价格的影响，发现非信息驱动的资金进出会显著改变价格，支持金融化影响商品价格的假说。
This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed to and withdrawn from the futures markets via issuers' trades to hedge their CLN liabilities. The flows are not based on information about futures price movements but nonetheless cause increases and decreases in commodity futures prices when they are passed through to and withdrawn from the futures markets. These finding are consistent with the hypothesis that non-information-based financial investments have important impacts on commodity prices.