How the financial market can dampen the effects of commodity price shocks
European Economic Review, 2020, vol. 121, issue C
Commodities have begun to function as an asset class during the past decade, as trading in commodity derivatives has increased massively since the mid-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 U.S. economy, by constructing a model with a financial accelerator 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: Commodities as an asset; Commodity price shocks; Commodity derivatives; Financial accelerator (search for similar items in EconPapers)
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Working Paper: How the Financial Market Can Dampen the Effects of Commodity Price Shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eecrev:v:121:y:2020:i:c:s0014292119302004
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