Convective Risk Flows in Commodity Futures Markets

Ing-Haw Cheng, Andrei Kirilenko and Wei Xiong

No 17921, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper analyzes the joint responses of commodity futures prices and traders' futures positions to changes in the VIX before and after the recent financial crisis. We find that while financial traders accommodate the needs of commercial hedgers in normal times, in times of distress, financial traders reduce their net long positions in response to an increase in the VIX causing the risk to flow to commercial hedgers. By exploiting a cross-section of traders, we provide micro-level evidence for a convective flow of risk from distressed financial traders to the ultimate producers of commodities in the real economy.

JEL-codes: G01 G12 G20 Q02 (search for similar items in EconPapers)
Date: 2012-03
Note: AP CF
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

Published as Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2015. "Convective Risk Flows in Commodity Futures Markets," Review of Finance, European Finance Association, vol. 19(5), pages 1733-1781.

Downloads: (external link)
http://www.nber.org/papers/w17921.pdf (application/pdf)

Related works:
Journal Article: Convective Risk Flows in Commodity Futures Markets (2015)
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:nbr:nberwo:17921

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w17921

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().