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Solène Marine Sophie Collot
Former Member
Last Name
Collot
First name
Solène Marine Sophie
Email
solene.collot@unisg.ch
Phone
+41 71 224 7006
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1 - 2 of 2
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PublicationHave Commodities Become a Financial Asset? Evidence from Ten Years of FinancializationThe 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.Type: journal articleJournal: Energy EconomicsVolume: Volume 89, June 2020, 104769Issue: 89
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PublicationMeasuring Financial Investor Presence Through Term Structure DeflectionWe estimate the presence of financial investors in commodity futures markets from deflections in the term structure. We argue that large-scale inflows from financial investors cause systematic deviations in nearby futures contracts that reflect excessive buying pressure in commodities. We compare this new speculation indicator to popular existing measures including reported CFTC data and the Hamilton and Wu (2014) risk premium. We find substantial financial investor presence in commodity markets from 2004 to 2014. We show that our new speculation measure is better at explaining the variation in crude oil volatility than other existing measures.Type: working paperVolume: 2021/08Issue: 08