大宗商品市场金融化

NBERWORKINGPAPERSERIESTHEFINANCIALIZATIONOFCOMMODITYMARKETSIng-HawChengWeiXiongWorkingPaper19642©2013byIng-HawChengandWeiXiong.Allrightsreserved.Shortsectionsoftext,nottoexceedtwoparagraphs,maybequotedwithoutexplicitpermissionprovidedthatfullcredit,including©notice,isgiventothesource.TheFinancializationofCommodityMarketsIng-HawChengandWeiXiongNBERWorkingPaperNo.19642November2013JELNo.G00,Q02,Q1,Q4ABSTRACTThelargeinflowofinvestmentcapitaltocommodityfuturesmarketsinthelastdecadehasgeneratedaheateddebateaboutwhetherfinancializationdistortscommodityprices.Ratherthanfocusingontheopposingviewsconcerningwhetherinvestmentflowseitherdidordidnotcauseapricebubble,wecriticallyreviewacademicstudiesthroughtheperspectiveofhowfinancialinvestorsaffectrisksharingandinformationdiscoveryincommoditymarkets.Wearguethatfinancializationhassubstantiallychangedcommoditymarketsthroughthesemechanisms.Ing-HawCheng100TuckHallTuckSchoolofBusinessDartmouthCollegeHanover,[e-mail]ersityDepartmentofEconomicsBendheimCenterforFinancePrinceton,[e-mail]ilableat:(CFTC,2008).Concurrently,alargenumberofcommoditiesacrosstheenergy,metal,andagriculturalsectorsexperiencedasynchronizedboomandbustcyclein2007-2008.Duringthisperiod,thepricevolatilityofmanycommoditiesspiked.Thishighpricevolatilityhasledtogrowingconcernofthepublicandinpolicycirclesastowhetherfinancializationhasdistortedcommodityprices,andwhethermoregovernmentregulationinthesemarketsiswarranted.MichaelMasters,inhis2008testimonytotheU.S.Senate,arguedthatfuturesmarketspeculationhadcausedabubbleinoilpricesin2007and2008,leadingtosignificantlyhigherenergycostsforconsumers(Masters,2008).This“bubble”viewwaslaterechoedbyformerCongressmanJosephKennedyII(Kennedy,2012),extendedtograincommoditiesinaU.S.Senatereport(U.S.Senate,2009),andalsowasadvocatedabroadbythen-BritishPrimeMinisterGordonBrownandFrenchPresidentNicolasSarkozyin2009(BrownandSarkozy,2009).Ontheotherhand,manyeconomists,suchasKrugman(2008),StollandWhaley(2010),IrwinandSanders(2012a),andFattouh,KilianandMahadeva(2012),arguethatthereislittlesystematicevidencetosupportthebubbleviewandthatspeculatorsincommoditymarketsarenocauseforconcern.Thedebatebetweenthis“business-as-usual”viewandtheaforementioned“bubble”viewhasgarneredsubstantialattentionfromacademicsandpolicymakersalike.Thetruthislikelyinbetweenthesetwoextremeviews.Itisimportanttonotethatrejectingonedoesnotnecessarilyjustifytheother.Ratherthanfocusingonthesetwoextremeviews,wearguethatresearchersshouldtestwhetherfinancializationhasaffectedcommoditymarketsthroughthemechanismsthatunderpinthefunctioningofthesemarkets:storage,risk-sharing,andinformationdiscovery.Viewedthroughthislens,theevidencesuggeststhatfinancializationmayhavetransformedthelattertwofunctionsofcommodityfuturesmarkets.Commodityfuturesmarketshavehadalonghistoryofassistingcommodityproducerstohedgetheircommoditypricerisks.ThelongstandinghedgingpressuretheoryofKeynes(1923),2Hicks(1939),andHirshleifer(1988)positsthathedgersaretypicallyontheshortsideoffuturesmarketsandneedtoofferpositiveriskpremiatoattractspeculatorstotakethelongside.Bybringingalargenumberoffinancialinvestorstothelongside,financializationmitigatesthishedgingpressureandimprovesrisksharing,assuggestedbyTangandXiong(2012).However,aspointedoutbyCheng,Kirilenko,andXiong(2013),andAcharya,Lochstoer,andRamadorai(2012),financialinvestorsalsohavetime-varyingriskappetitesowingtoriskconstraintsandfinancialdistress.Forexample,financialinvestorsmayhavetounwindtheirlongcommoditypositionsifsuddenpricedropsinothermarketsleadthemtoreducerisk.Asaresult,theytransmitoutsideshockstocommoditymarkets.Financializationthusaffectsrisksharingincommoditymarketsthroughthedualrolesoffinancialinvestors:asprovidersofliquiditytohedgerswhentradingtoaccommodatehedgingneedsandasconsumersofliquidityfromhedgerswhentradingfortheirownneeds.Financializationmayalsoaffectinformationdiscoveryincommoditymarkets.Duetoinformationalfrictionsintheglobalsupply,demand,andinventoryo