Financialization in Commodity Markets / V.V. Chari, Lawrence Christiano.

Format:

Book

Author/Creator:

Chari, V.V.

Contributor:

National Bureau of Economic Research.

Christiano, Lawrence.

Series:

Working Paper Series (National Bureau of Economic Research) no. w23766.

NBER working paper series no. w23766

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

Summary:

Recent experience has given rise to the financialization view: increased trading in commodity fu--tures markets leads to an increase in the level and volatility of spot prices. We construct a large panel data set which includes commodities with and without futures markets. The data do not support the financialization view. We also find that futures returns are positively correlated with open interest and not correlated with net financial flows. The facts on spot and futures prices and volume necessitate a new view, which we develop, of the economic role of futures markets. Our model is consistent with the key facts.

Notes:

Print version record

September 2017.