...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Economic modelling >How index investment impacts commodities: A story about the financialization of agricultural commodities
【24h】

How index investment impacts commodities: A story about the financialization of agricultural commodities

机译：指数投资如何影响商品：关于农产品金融化的故事

获取原文
获取原文并翻译 | 示例
   

获取外文期刊封面封底 >>

       
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

This paper focuses on the impact of financial investors on agricultural prices, a phenomenon known as the financialization. In this aim, we check whether financial mechanisms drive extreme values and the mean of agricultural returns in the same way. Relying on the Threshold AutoRegressive Quantile (TQAR) methodology, we find evidence of reinforcement linkages between equity and agricultural markets since 2004, corresponding to the rise in inflows of institutional investors in commodity markets. These results show that agents impact more deeply commodity markets when the commodity index value is high. In addition, in extreme quantiles (0.75 and 0.90) of agricultural returns, the relationship between agricultural and stock returns is always significant when the commodity index return is in the higher regime. This finding suggests that, stock markets had a greater impact on agricultural price dynamics during the extreme movements which occurred during the 2007-2008 financial crisis, highlighting a potential influence of financial markets on the financialization of commodities.
机译：本文关注金融投资者对农产品价格的影响，这种现象被称为金融化。为此，我们检查金融机制是否以相同的方式推动了极端价值和农业收益的均值。依靠阈值自回归分位数（TQAR）方法，我们发现自2004年以来股票和农业市场之间加强联系的证据，这与机构投资者在商品市场中的流入量增加相对应。这些结果表明，当商品指数值较高时，代理商对商品市场的影响会更大。此外，在极高的分位数（0.75和0.90）的农业收益中，当商品指数收益处于较高状态时，农业收益与股票收益之间的关系始终很重要。这一发现表明，在2007-2008年金融危机期间发生的极端运动中，股票市场对农产品价格动态的影响更大，突显了金融市场对商品金融化的潜在影响。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号