题 目：Bubbles in the Commodity Asset Class: Detection and Sources
报告人：Ke Tang (Remin University of China)
时 间：6月2日（周三）10:00-11:30am
地 点：光华新楼B34教室
摘 要：This paper contributes to ongoing debates over bubbles in the commodity asset class. We test the bubble using the present value model proposed by Campbell and Shiller (1987) and Pindyck (1993), according to which commodity price changes should be caused only by movements of the present and future convenience yield. Post-2004 commodity prices increased greatly relative to pre-2004 prices, even excluding the influence of the fundamental convenience yield movements. Thus such abnormally high commodity prices should be considered as bubbles. We attribute these commodity bubbles to a large injection of money from index investors taking commodities as a new asset class for portfolio diversification. The index investment is substantial in commodity markets; for example, oil index investment accounts for 15% of its open interest, with about 40% for wheat. We develop an equilibrium model in which commodity futures are considered as an asset class for the usage of diversification of portfolio risks. This model shows that index investment can cause "commodity bubbles." Simultaneously this investment strategy brings extra factors to commodity prices, which dilutes the fundamental relationship between price and convenience yield in the present value models.
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