A Model of Financialization of Commodities

By Suleyman Basak, Anna Pavlova. 2015

569 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/c2bec2f595dc27227cfbee07c302095ead9efedd

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Citations in the corpus

New Evidence on the Financialization of Commodity Markets (2015, unknown): “” Despite recent contributions by Tang and Xiong (2012), Singleton (2013), Hamilton and Wu (forthcoming 2014), Basak and Pavlova (2014), and Cheng, Kirilinko, and Xiong (2014), the question of whether and the extent to which the flows of financial investors have impacted commodity futures and spot p”
Financialization in commodity markets: A passing trend or the new normal? (2015, unknown): “Basak and Pavlova (2014) point out that many CITs are likely to have an investment mandate that requires the evaluation of their performance relative to a benchmark such as the S&P GSCI commodity index.”
Time-Varying Impact of Geopolitical Risks on Oil Prices (2020, background): “Furthermore, the so-called “financialization” of the commodities market (Basak and Pavlova, 2016; Fattouh et al., 2013) has opened the debate on whether the commodity prices are still driven by supply and demand factors (Krugman, 2008; Hamilton, 2009; Kilian, 2009) or they are also driven by…”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “The financialization of commodities has recently been a very active research field (Irwin and Sanders (2011), Singleton (2013), Cheng and Xiong (2014), Büyükşahin and Robe (2014), Henderson, Pearson and Wang (2015), Hamilton and Wu (2015) and Basak and Pavlova (2016)).”
The Granular Nature of Large Institutional Investors (2016, unknown): “In addition, Basak and Pavlova (2013a, 2013b) show theoretically that an asset included in an index tracked by institutional investors increases the non-fundamental volatility in that asset’s prices.”
“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets (2017, unknown): “A sharp increase in the popularity of commodity investing in the past decade has triggered an unprecedented inflow of institutional funds into commodity futures markets, referred to as the financialization of commodities (Basak and Pavlova, 2016).”
Correlation in Energy Markets (2017, unknown): “Similar conclusions are drawn by Basak and Pavlova (2016) who estimate that around 15% of the futures price comes from financialization and the rest from fundamentals.”
Drivers and triggers of international food price spikes and volatility (2014, unknown): “The two authors highlighted that the correlation with oil prices was significantly stronger for indexed commodities than off-index commodities because oil is an important index constituent (Basak and Pavlova 2013).”