How the Financial Market Can Dampen the Effects of Commodity Price Shocks

Myunghyun Kim ()

No 2018-28, Working Papers from Economic Research Institute, Bank of Korea

Abstract: Commodities have begun to function as an asset class during the past decade, as trading in commodity derivatives has increased massively since the 2000s. This paper studies the role of commodities as an asset class in accounting for the recently lessened impacts of commodity price shocks on the economy, by constructing a model with financial frictions and with financial intermediaries that own two assets ? tied to commodities as well as to capital. Simulation results of the model show that financial intermediaries¡¯ holdings of commodities as assets have contributed to the recent reduction in the effects of commodity price shocks.

Keywords: Commodity price shocks; Commodity derivatives (search for similar items in EconPapers)
JEL-codes: E30 E44 Q43 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2018-09-28
New Economics Papers: this item is included in nep-dge and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://papers.bok.or.kr/RePEc_attach/wpaper/english/wp-2018-28.pdf Working Paper, 2018 (application/pdf)

Related works:
Journal Article: How the financial market can dampen the effects of commodity price shocks (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1828

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