Have Commodities Become a Financial Asset? Evidence from Ten Years of Financialization
Journal
Energy Economics
Type
journal article
Date Issued
2020-06
Abstract
The financialization of commodity markets over the last decade has changed the behavior of commodity prices in fundamental ways. In this paper, we uncover the gradual transformation of commodities from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that financial variables have become the main driving factors explaining the variation in commodity returns and volatility today. Our findings have important implications for portfolio analysis and for the effectiveness of hedging in commodity markets.
Language
English
Keywords
Crude oil
commodities
financialization
R-squared decomposition
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Refereed
Yes
Publisher
Elsevier
Volume
Volume 89, June 2020, 104769
Number
89
Pages
20
Subject(s)
Contact Email Address
zeno.adams@unisg.ch
Eprints ID
250782
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Format
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