Hedging commodities in times of distress: The case of COVID‐19
研究了COVID-19疫情对商品期货市场对冲效率的影响，发现疫情与对冲效率负相关，并通过流动性、经济活动、出口和农业就业份额等渠道传导。
Abstract This study examines the relation between the COVID‐19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future–spot prices, and then we identify key financial and real economy transmission channels associated with the pandemic. We use data of all contracts from all commodities traded at Brazilian futures markets from 2018 to 2020. We document market inefficiency and bias for all commodities. We also find that COVID‐19 has a negative correlation with hedge efficiency, and that liquidity, economic activity, export, and agriculture's employment share are transmission channels to hedge efficiency.