Abstract
The authors found that, concurrent with the rapidly growing index investment in commodity markets since the early 2000s, prices of non-energy commodity futures in the United States have become increasingly correlated with oil prices; this trend has been significantly more pronounced for commodities in two popular commodity indices. This finding reflects the financialization of the commodity markets and helps explain the large increase in the price volatility of non-energy commodities around 2008.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 54-74 |
| Number of pages | 21 |
| Journal | Financial Analysts Journal |
| Volume | 68 |
| Issue number | 6 |
| DOIs | |
| State | Published - Nov 2012 |
All Science Journal Classification (ASJC) codes
- Accounting
- Finance
- Economics and Econometrics