【本期主题】Financial Demand and Commodity Prices
This paper contributes to ongoing debates over whether the financial investment influences commodity prices
and volatility. Starting from 2004 commodities are gradually considered as a financial asset class as more
and more institutions start to invest in commodity futures for the sake of portfolio diversification and
inflation hedging, for example, oil index investment accounts for 15% of its total open interest and about 40%
for wheat. In this paper, we develop an equilibrium model which shows that financial investment does determine
commodity prices and volatility. Furthermore, financial investments dilute the relationship between convenience
yields (the proxy for the fundamentals) and commodity prices. Using futures prices of 26 U.S. traded
commodities and index trader’s positions of 12 agricultural commodities, we perform several empirical tests.
The results are consistent with predictions of our theoretical model.
【报告人】汤珂 汉青经济与金融高级研究院 副教授
【时 间】9月21日中午12:00
【地 点】中国人民大学明德主楼610
诚邀您参加。如果您有兴趣，请于9月21日前发送邮件至hanqing.seminar@gmail.com或电话联系，我们将为老师预订工作餐。（联系人：李红梅 62511138 ）
报告人简介：
汤珂博士是中国人民大学汉青经济与金融高级研究院的副教授。他获英国剑桥大学金融学博士学位、加州大学伯克利分校金融工程硕士学位。主要科研方向是资产定价、大宗商品市场、中国证券市场。他在国际著名学术刊物发表论文，包括Journal of Banking and Finance、Emerging Market Finance and Trade、Quantitative Finance，担任Management Science，Journal of Banking and Finance，Journal of Applied Econometrics，Journal of Empirical Finance，Quantitative Finance等国际学术刊物审稿工作。
中国人民大学财政金融学院
梁晶工作室
二零一一年九月十九日
