Financialization, common stochastic trends, and commodity prices
研究了2003至2008年间指数投资者头寸激增对玉米、大豆、原油和天然气价格的影响，发现金融化确实推动了这些商品的价格变动。
Abstract Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investorsʼ positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger‐causality testing, find no relationship between financialization and commodity prices. We examine the effects of shocks to the common stochastic trends in the index positions, the spot and futures prices of Chicago corn and soybeans, WTI crude oil and Henry Hub natural gas. The results show that financialization has contributed to the price movements of these commodities.