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| Financial Speculation, Real Demand and International Commodity Price:Impact Analysis from the Perspective of Informational Frictions |
| LIU Lu, ZHANG Xiang, WANG Haiquan
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School of Finance, Southwestern University of Finance and Economics;
Nanning Central Sub-branch of PBC |
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Abstract This paper empirically investigates the impacts of financial speculation and real demand on international commodity spot prices during 2005-2015. First, we explicitly identify exogenous changes of financial speculation which has the property of informational noise. Then, we quantify and compare the impacts of financial speculation and real demand in different information environments based on dividing informational friction regimes from multiple dimensions. The results show that real demand is the main driver of commodity prices in the long run; while in the short run, the influence of financial speculation dominates and other informational noises also exhibit significant impacts. Compared to regimes of weak informational frictions, the impact of impacts of financial speculation as well as other informational noises are stronger in high -volatility, high-financial stress and high-investor sentiment regimes. Further analysis finds that financial traders’ market share is lower in regimes of strong informational frictions than in regimes of weak informational frictions. Therefore, the key to stabilizing international commodity market is to improve market transparency and reduce informational frictions.
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Received: 04 May 2017
Published: 01 November 2018
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