【本期主题】New Evidence on the Financialization of Commodity Markets
Following the recent, dramatic increase in commodity investments by financial institutions, academics, practitioners, and regulators have engaged in a heated debate over whether financial institutions’ trades and holdings have affected commodity prices and their return dynamics. Distinct from the prior literature, this paper examines the price impact of commodity investments on the commodities futures markets using a novel dataset of Commodity-Linked Notes (CLNs). CLN issuers hedge their liabilities by taking long positions in the underlying commodity futures on the pricing dates. These hedging trades are plausibly exogenous to the contemporaneous and subsequent price movements, allowing us to identify the price impact of the hedging trades. We find that these hedging trades cause significant price changes in the underlying futures markets, and therefore provide direct evidence of the impact of “financial” trades on commodity futures prices.
【报告人】Neil D. Pearson The University of Illinois at Urbana-Champaign
【时 间】9月19日 中午12:00
【地 点】明德主楼1212室 第五会议室
诚邀您参加。如果您有兴趣,请于9月18日前回复邮件hanqing.seminar@gmail.com或电话联系,我们将为老师准备工作餐。
联系人:赵圣玉 010-62514479
报告人简介:
Neil D. Pearson is a Harry A. Brandt Distinguished Professor in Financial Markets and Options, University of Illinois at Urbana-Champaign. His research includes both theoretical and empirical work on asset pricing and the valuation and hedging of financial derivatives and other financial instruments. Dr. Pearson has published papers in a number of academic journals, is an associate editor of the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis, and Economics Bulletin and has written a book, Risk Budgeting: Portfolio Problem Solving with Value-at-Risk, published by John Wiley & Sons. He has consulted for a number of U.S. and international banks, working on term structure models, the evaluation of derivatives pricing models, and some issues that arise in the computation of “value at risk” measures. He received his Ph.D. from the Massachusetts Institute of Technology.
汉青经济与金融高级研究院
二〇一二年九月十一日