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Financial investors and commodity markets

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  • Dietrich Domanski
  • Alexandra Heath
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    Abstract

    Commodities have attracted considerable interest as a financial investment in recent years. This article discusses the factors behind their growing appeal and assesses the extent to which market characteristics, such as price volatility, have changed as a result. The feature concludes that commodity markets have become more like financial markets in terms of the motivations and strategies of participants, but that the physical characteristics of commodity markets are still important.

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    File URL: http://www.bis.org/publ/qtrpdf/r_qt0703g.pdf
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    File URL: http://www.bis.org/publ/qtrpdf/r_qt0703g.htm
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    Bibliographic Info

    Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

    Volume (Year): (2007)
    Issue (Month): (March)
    Pages:

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    Handle: RePEc:bis:bisqtr:0703g

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    1. Claude B. Erb & Campbell R. Harvey, 2005. "The Tactical and Strategic Value of Commodity Futures," NBER Working Papers 11222, National Bureau of Economic Research, Inc.
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    Cited by:
    1. Avalos, Fernando, 2014. "Do oil prices drive food prices? The tale of a structural break," Journal of International Money and Finance, Elsevier, Elsevier, vol. 42(C), pages 253-271.
    2. Annastiina Silvennoinen & Susan Thorp, 2010. "Financialization, Crisis and Commodity Correlation Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 267, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Khan, Haider, 2011. "Constructing Global Governance of Global Finance: Towards a Hybrid Global Financial Architecture," MPRA Paper 40249, University Library of Munich, Germany, revised Jan 2012.
    4. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, Elsevier, vol. 64(4), pages 287-305.
    5. Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2455-2472.
    6. Cheung, C. Sherman & Miu, Peter, 2010. "Diversification benefits of commodity futures," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(5), pages 451-474, December.
    7. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    8. Chkili, Walid & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 1-18.
    9. Vladimir Filimonov & David Bicchetti & Nicolas Maystre, 2013. "Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets," UNCTAD Discussion Papers, United Nations Conference on Trade and Development 212, United Nations Conference on Trade and Development.
    10. Diego Bastourre & Jorge Carrera & Javier Ibarlucia, 2008. "Commodity Prices in Argentina: What Moves the Wind?," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, Central Bank of Argentina, Economic Research Department, vol. 1(51), pages 43-81, April - S.
    11. Stuart Landon & Constance Smith, 2010. "Energy Prices and Alberta Government Revenue Volatility," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 313, November.
    12. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 832-844.

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