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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w16385 |
来源ID | Working Paper 16385 |
Index Investment and Financialization of Commodities | |
Ke Tang; Wei Xiong | |
发表日期 | 2010-09-23 |
出版年 | 2010 |
语种 | 英语 |
摘要 | This paper finds that, concurrent with the rapid growing index investment in commodities markets since early 2000s, futures prices of different commodities in the US became increasingly correlated with each other and this trend was significantly more pronounced for commodities in the two popular GSCI and DJ-UBS commodity indices. This finding reflects a financialization process of commodities markets and helps explain the synchronized price boom and bust of a broad set of seemingly unrelated commodities in the US in 2006-2008. In contrast, such commodity price comovements were absent in China, which refutes growing commodity demands from emerging economies as the driver. |
主题 | Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w16385 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574060 |
推荐引用方式 GB/T 7714 | Ke Tang,Wei Xiong. Index Investment and Financialization of Commodities. 2010. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w16385.pdf(919KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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