英文标题：
《Modelling the impact of financialization on agricultural commodity
markets》
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作者：
Maria d\'Errico, Alessandro Laio and Guido L. Chiarotti
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最新提交年份：
2016
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英文摘要：
We propose a stylized model of production and exchange in which long-term investors set their production decision over a horizon {\\tau} , the \"time to produce\", and are liquidity constrained, while financial investors trade over a much shorter horizon {\\delta} (<< {\\tau} ) and are therefore more duly informed on the exogenous shocks affecting the production output. The equilibrium solution proves that: (i) long-term producers modify their production decisions to anticipate the impact of short-term investors allocations on prices; (ii) short-term investments return a positive expected profit commensurate to the informational advantage. While the presence of financial investors improves the efficiency of risk allocation in the short-term and reduces price volatility, the model shows that the aggregate effect of commodity market financialization results in rising the volatility of both farms\' default risk and production output.
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中文摘要：
我们提出了一种风格化的生产和交换模型，其中长期投资者在“生产时间”这一期限内做出生产决策，并且受到流动性约束，而金融投资者在更短的期限内进行交易{\\delta}（<{\\tau}），因此更及时地了解影响生产产出的外部冲击。均衡解证明：（i）长期生产者修改其生产决策，以预测短期投资者配置对价格的影响；（ii）短期投资回报与信息优势相称的正预期利润。虽然金融投资者的存在在短期内提高了风险分配的效率并降低了价格波动，但该模型表明，商品市场金融化的总体效应导致农场违约风险和生产产出的波动性上升。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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