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来源类型Working Paper
规范类型报告
DOI10.3386/w16385
来源IDWorking 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
URLhttps://www.nber.org/papers/w16385
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/574060
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GB/T 7714
Ke Tang,Wei Xiong. Index Investment and Financialization of Commodities. 2010.
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