| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17921 |
| 来源ID | Working Paper 17921 |
| Convective Risk Flows in Commodity Futures Markets | |
| Ing-Haw Cheng; Andrei Kirilenko; Wei Xiong | |
| 发表日期 | 2012-03-23 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial traders reduce their net long positions in response to an increase in the VIX causing the risk to flow to commercial hedgers. By exploiting a cross-section of traders, we provide micro-level evidence for a convective flow of risk from distressed financial traders to the ultimate producers of commodities in the real economy. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Institutions ; Environmental and Resource Economics |
| URL | https://www.nber.org/papers/w17921 |
| 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/575599 |
| 推荐引用方式 GB/T 7714 | Ing-Haw Cheng,Andrei Kirilenko,Wei Xiong. Convective Risk Flows in Commodity Futures Markets. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w17921.pdf（3596KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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