Financialization, common stochastic trends, and commodity prices

Kupabado MM, Kähler J (2021)

Publication Type: Journal article

Publication year: 2021

Journal

Journal of Futures Markets Wiley-Blackwell

DOI: 10.1002/fut.22269

Abstract

Commodity financialization has been a subject of discussion since the 2008 financial crisis. It is estimated that between 2003 and 2008, index investors positions increased from $13 billion to $317 billion. Surprisingly, most studies, predominantly based on Granger-causality testing, find no relationship between financialization and commodity prices. We examine the effects of shocks to the common stochastic trends in the index positions, the spot and futures prices of Chicago corn and soybeans, WTI crude oil and Henry Hub natural gas. The results show that financialization has contributed to the price movements of these commodities.

Authors with CRIS profile

Moses Mananyi Kupabado Lehrstuhl für Volkswirtschaftslehre mit dem Schwerpunkt Entwicklungsökonomik Jürgen Kähler Philosophische Fakultät und Fachbereich Theologie

How to cite

APA:

Kupabado, M.M., & Kähler, J. (2021). Financialization, common stochastic trends, and commodity prices. Journal of Futures Markets. https://dx.doi.org/10.1002/fut.22269

MLA:

Kupabado, Moses Mananyi, and Jürgen Kähler. "Financialization, common stochastic trends, and commodity prices." Journal of Futures Markets (2021).

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