EconPapers    
Economics at your fingertips  
 

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

Myunghyun Kim ()
Additional contact information
Myunghyun Kim: Economic Research Institute, The Bank of Korea

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)
New Economics Papers: this item is included in nep-dge and nep-mac
Date: 2018-09-28
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

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

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1828

Access Statistics for this paper

More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().

 
Page updated 2019-09-20
Handle: RePEc:bok:wpaper:1828