Inflation, Business Cycles, and Commodity Investing in Financialized Markets-tr

Makale Bilgileri
Dergi: İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı: Inflation, Business Cycles, and Commodity Investing in Financialized Markets
Yazar(lar): Adam Zaremba
Cilt: 6
Sayı: 1
Yıl: 2015
Sayfa: 1-18
ISSN: 1309-2448
Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized markets and on their role for a tactical asset allocation. The study aims to contribute to the academic literature in four ways. First, it provides fresh evidence on the interdependences between commodity returns, inflation and the business activity. Second, it documents increased correlation of the commodity returns with the business activity in the financialized markets. Third, it explores changes in the lead/lag relationship of commodity prices and the business cycle. Fourth, it proves that the commodities retained their inflation hedging abilities in the financialized markets. The computations are based on listings of various commodity indices, which are calculated by S&P-GSCI, JP Morgan, and Dow Jones-UBS, between 1970 and 2013.
Anahtar Kelimeler: Commodities, inflation hedging, macroeconomic determinants, business cycle, financialization
JEL Sınıflandırması: G11, G13, Q02 Full Text