Have commodities become a financial asset? Evidence from ten years of Financialization

Energy Economics - Tập 89 - Trang 104769 - 2020
Zeno Adams1, Solène Collot1, Maria Kartsakli1
1Swiss Institute of Banking and Finance (s/bf), University of St. Gallen, Unterer Graben 21, 9000 St. Gallen, Switzerland

Tài liệu tham khảo

Aalbers, 2016 Aboura, 2020, Local Gaussian correlations in financial and commodity markets, Eur. J. Oper. Res., 285, 306, 10.1016/j.ejor.2020.01.023 Adams, 2015, Financialization in commodity markets: a passing trend or the new normal?, J. Bank. Financ., 60, 93, 10.1016/j.jbankfin.2015.07.008 Aloui, 2009, The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach, Energy Econ., 31, 789, 10.1016/j.eneco.2009.03.009 Alquist, 2010, What do we learn from the price of crude oil futures?, J. Appl. Econ., 25, 539, 10.1002/jae.1159 Amano, 1998, Oil prices and the rise and fall of the US real exchange rate, J. Int. Money Financ., 17, 299, 10.1016/S0261-5606(98)00004-7 Aromi, 2019, Spillovers between the oil sector and the S&P500: the impact of information flow about crude oil, Energy Econ., 81, 187, 10.1016/j.eneco.2019.03.018 Badshah, 2019, The effect of policy uncertainty on stock-commodity correlations and its implications on optimal hedging, Energy Econ., 84, 10.1016/j.eneco.2019.104553 Bahrn, R., and B. Nikolovann (2010), “Global oil prices, oil industry and equity returns: Russian experience”, Scottish Journal of Political Economy, 57(2) (2010), pp. 169–186. Balcilar, 2018, On the risk spillover across the oil market, stock market, and the oil related CDS sectors: a volatility impulse response approach, Energy Econ., 74, 813, 10.1016/j.eneco.2018.07.027 Barsky, 2004, Oil and the macroeconomy since the 1970s, J. Econ. Perspect., 18, 115, 10.1257/0895330042632708 Basak, 2016, A model of financialization of commodities, J. Financ., 71, 1511, 10.1111/jofi.12408 Batten, 2019, Time-varying energy and stock market integration in Asia, Energy Econ., 80, 777, 10.1016/j.eneco.2019.01.008 Baumeister, 2016 Baur, 2018, The asymmetric return-volatility relationship of commodity prices, Energy Econ., 76, 378, 10.1016/j.eneco.2018.10.022 Bekaert, 2013, Risk, uncertainty and monetary policy, J. Monet. Econ., 60, 771, 10.1016/j.jmoneco.2013.06.003 Bianchi, 2020, Financialization and de-financialization of commodity futures: a quantile regression approach, Int. Rev. Financ. Anal., 68 Bicchetti Brown, 2009, Oil prices need government supervision, The Wall Street J. Brunnermeier, 2009, Market liquidity and funding liquidity, Rev. Financ. Stud., 22, 2201, 10.1093/rfs/hhn098 Casella, 2002 Cheng, 2014, Financialization of commodity markets, Annual Review of Financial Economics, 6, 419, 10.1146/annurev-financial-110613-034432 Cheng, 2015, Convective risk flows in commodity futures markets, Review of Finance, 19, 1733, 10.1093/rof/rfu043 D’Amico, 2008 Ding, 2016, Crude oil and stock markets: causal relationships in tails?, Energy Econ., 59, 58, 10.1016/j.eneco.2016.07.013 Dvir, 2009 Fasianos, 2018, Have we been here before? Phases of financialization within the twentieth century in the US, Rev. Keynes. Econ., 6, 34, 10.4337/roke.2018.01.03 Frankel, 2014, Effects of speculation and interest rates in a “carry trade” model of commodity prices, J. Int. Money Financ., 42, 88, 10.1016/j.jimonfin.2013.08.006 Gibbon Gorton, 2006, Facts and fantasies about commodity futures Greene, 2011 Grömping, 2006, Relative importance for linear regression in R: the package relaimpo, J. Stat. Softw., 17, 1, 10.18637/jss.v017.i01 Grömping, 2015, Variable importance in regression models, WIREs Computational Statistics, 7, 137, 10.1002/wics.1346 Haase, 2016, The impact of speculation on commodity futures markets – a review of the findings of 100 empirical studies, J. Commod. Mark., 3, 1, 10.1016/j.jcomm.2016.07.006 Hamilton, 1983, Oil and the macroeconomy since world war II, J. Polit. Econ., 91, 228, 10.1086/261140 Hamilton, 2009, Understanding crude oil prices, Energy Journal, 30, 179, 10.5547/ISSN0195-6574-EJ-Vol30-No2-9 Hamilton, 2009, Causes and consequences of the oil shock of 2007–08, 215 Hamilton, 2014, Risk Premia in crude oil futures prices, J. Int. Money Financ., 42, 9, 10.1016/j.jimonfin.2013.08.003 Hartelius, 2008, Emerging market spread compression: Is it real or is it liquidity? Henderson, 2015, New evidence on the financialization of commodity markets, Rev. Financ. Stud., 28, 1285, 10.1093/rfs/hhu091 Huettner, 2012, Axiomatic arguments for decomposing goodness of fit according to Shapley and Owen values, Electronic Journal of Statistics, 6, 1239, 10.1214/12-EJS710 IMF (2004), “Global Financial Stability Report, Market Developments and Issues”, International Monetary Fund, available at https://www.imf.org/external/pubs/ft/gfsr/. Irwin, 2011, Index funds, financialization, and commodity futures markets, Applied Economic Perspectives and Policy, 33, 1, 10.1093/aepp/ppq032 Jurado, 2015, Measuring uncertainty, Am. Econ. Rev., 105, 1177, 10.1257/aer.20131193 Kaufmann, 2011, The role of market fundamentals and speculation in recent price changes for crude oil, Energy Policy, 39, 105, 10.1016/j.enpol.2010.09.018 Kaufmann, 2009, Oil prices, speculation, and fundamentals: interpreting causal relations among spot and future prices, Energy Econ., 31, 550, 10.1016/j.eneco.2009.01.013 Kilian, 2009, Not all oil price shocks are alike: disentangling demand and supply shocks in the crude oil market, Am. Econ. Rev., 99, 1053, 10.1257/aer.99.3.1053 Kilian, 2014, The role of inventories and speculative trading in the global market for crude oil, J. Appl. Econ., 29, 454, 10.1002/jae.2322 Kruskal, 1987, Relative importance by averaging over orderings, Am. Stat., 41, 6 Kyrtsou, 2016, Does the S&P500 index lead the crude oil dynamics? A complexity-based approach, Energy Econ., 56, 239, 10.1016/j.eneco.2016.02.001 Lee, 2011, Oil sensitivity and its asymmetric impact on the stock market, Energy, 36, 168, 10.1016/j.energy.2010.10.057 Lindeman, 1980 Mankiw, 2004, Disagreement about inflation expectations, 209 Nguyen, 2018, Modeling and forecasting commodity market volatility with long-term economic and financial variables Pástor, 2013, Political uncertainty and risk Premia, J. Financ. Econ., 110, 520, 10.1016/j.jfineco.2013.08.007 Perron, 1989, The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 Qadan, 2018, Investor sentiment and the price of oil, Energy Econ., 69, 42, 10.1016/j.eneco.2017.10.035 Sadorsky, 2000, Oil price shocks and stock market activity, Energy Econ., 21, 449, 10.1016/S0140-9883(99)00020-1 Sari, 2011, Do global risk perceptions influence world oil prices?, Energy Econ., 33, 515, 10.1016/j.eneco.2010.12.006 Silvennoinen, 2013, Financialization, crisis and commodity correlation dynamics, J. Int. Financ. Mark. Inst. Money, 24, 42, 10.1016/j.intfin.2012.11.007 Tang, 2012, Index investment and the financialization of commodities, Financ. Anal. J., 68, 54, 10.2469/faj.v68.n6.5 Tori, 2017, The effects of financialisation and financial development on investment: Evidence from firm-level data in Europe Valiante, 2013 Vansteenkiste, 2011 Wei, 2017, Which determinant is the most informative in forecasting crude oil market volatility: fundamental, speculation, or uncertainty?, Energy Econ., 68, 141, 10.1016/j.eneco.2017.09.016 Whittaker, 2017, Premature financialization: a conceptual exploration Wu, 2018, Asymmetric volatility spillovers between crude oil and international financial markets, Energy Econ., 74, 592, 10.1016/j.eneco.2018.06.022 Zhang, 2008, Spillover effect of US Dollar exchange rate on oil prices, Journal of Policy Modelling, 30, 973, 10.1016/j.jpolmod.2008.02.002 Zhang, 2017, De-financialization of commodities? Evidence from stock, crude oil and natural gas markets, Energy Econ., 68, 228, 10.1016/j.eneco.2017.09.024 Zivot, 1992, Further evidence on the great crash, the oil-price shock, and the unit-root hypothesis, J. Bus. Econ. Stat., 10, 251