Financialization of Commodity Markets Co‐Movement Behind‐the‐Scenes
重新审视商品市场金融化现象，采用更广泛的跨商品截面数据和定制资产定价因子框架，发现金融化对商品综合体产生了本体论影响，而金融危机和后续货币政策则引发了向传统基本面回归的趋势。
ABSTRACT In the early 2000s, institutional investors entered the commodity futures markets en masse with passive, long only, index‐type positions in sharp contrast with those typically assumed by traditional expert participants. A heated public debate soon erupted over the perceived consequences of the phenomenon—commonly referred to as “financialization”—and, in response to immediate policy concerns, the matter was thrust into the academic sphere as a burning issue. With the benefit of hindsight, it now seems that the academic debate was framed rather narrowly, used contentious research methods, and eventually led to regulatory changes that were therefore perhaps unwarranted. In contrast, we take a broader approach where we consider a large cross‐section of liquid commodities as suggested by the nature of financialization that comprehends commodity futures as an asset class. We examine the cross‐sectional interconnectedness of these assets and use a bespoke asset pricing factors‐based framework to study the issue through the lens of co‐movement. We find that the phenomenon had ontological consequences for the commodity complex, with its impact extending beyond the mechanical effects induced by indexation. The onset of the financial crisis and the monetary policy regimes that followed, on the other hand, seem to have set off a motion of reversion to legacy pre‐financialization fundamentals.