 Financialization and the rise in co-movement of commodity pricesManisha Pradhananga International Review of Applied Economics, 2016, vol. 30, issue 5, 547-566 Abstract: Between January 2000 and June 2008, the FAO food price index rose by 96%. Besides the magnitude, the price rise was remarkable for the broad range of commodities affected; prices of agriculture commodities, energy, and metals all rose and fell together. These dramatic developments coincided with a massive inflow of investment in the commodities futures market, and the rise of commodities as an investment class. In this paper, I study causal links between the increase in the co-movement between commodity prices and financialization of the commodities futures market. I extract common factors from a group of 40 commodities using the PANIC method and include it in a factor-augment VEC model along with a proxy of financialization. Results show that financialization of the commodities futures markets can explain the recent rise in co-movement between commodity prices, after accounting for macroeconomic variables. Date: 2016 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:irapec:v:30:y:2016:i:5:p:547-566 Ordering information: This journal article can be ordered from DOI: 10.1080/02692171.2016.1146875 Access Statistics for this article International Review of Applied Economics is currently edited by Professor Malcolm Sawyer More articles in International Review of Applied Economics from Taylor & Francis Journals |
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