APPROACHES TO PRICE FORMATION IN FINANCIALIZED COMMODITY MARKETS

Sophie van Huellen

Journal of Economic Surveys, 2020, vol. 34, issue 1, 219-237

Abstract: A recent debate about the financialization of commodity markets has stimulated the development of new approaches to price formation which incorporate index traders as a new trader category. I survey these new approaches by retracing their emergence to traditional price formation models and show that they arise from a synthesis between commodity arbitrage pricing and behavioural pricing theories in the tradition of Keynesian inspired hedging pressure models. Based on these insights, I derive testable hypotheses and provide guidance for a growing literature that seeks to empirically evaluate the effects of index traders on price discovery in commodity futures markets.

Date: 2020
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Citations: View citations in EconPapers (6)

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https://doi.org/10.1111/joes.12342

Related works:
Working Paper: Approaches to Price Formation in Financialised Commodity Markets (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:34:y:2020:i:1:p:219-237

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