the impact of financialization on commodity prices...2013/03/07 · brussels, march 7 2013 2...
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The impact of financialization on commodity prices
Professor Dr. Heiner Flassbeck
Director, Flassbeck-Economics (flassbeck-economics.de)
and Professor of Economics at Hamburg University
Brussels, March 7 2013
2
Commodity prices have recovered amidst high volatility and a global slowdown
Commodity prices, selected categories, January 2002 – July 2012 (Index numbers, 2000 = 100)
By comparing the evolution of stocks and commodity prices, the financialization of commodity markets reveals
a dramatic change
Daily movements in oil prices and Brazilian Real/Japanese Yen exchange rate are highly
correlated November 2011 – November 2012
Daily movements in S&P GSCI and Brazilian Real/Japanese Yen exchange rate show only one
major deviation November 2011- November 2012
The number of annual trades by commodity has increased in tandem with
increased correlation among markets 1996 -2011
10.000
100.000
1.000.000
10.000.000
100.000.000
1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011
Oil (WTI)
Corn
Soybean
Sugar
Wheat
Live Cattle
Note: The y-axis is a logarithmic scale of base 10.
Monthly median of short-term rolling correlations bewteen the returns on the WTI and the S&P 500 Futures, by frequency shows higher correlation
despite one deviation
-0,6
-0,4
-0,2
0
0,2
0,4
0,6
0,8
1
20
07
m1
20
07
m3
20
07
m5
20
07
m7
20
07
m9
20
07
m1
1
20
08
m1
20
08
m3
20
08
m5
20
08
m7
20
08
m9
20
08
m1
1
20
09
m1
20
09
m3
20
09
m5
20
09
m7
20
09
m9
20
09
m1
1
20
10
m1
20
10
m3
20
10
m5
20
10
m7
20
10
m9
20
10
m1
1
20
11
m1
20
11
m3
20
11
m5
20
11
m7
20
11
m9
20
11
m1
1
1-second
10-second
5-minute
1-hour
Other agricultural products show the
same break as oil in HFT
-0.15
-0.1
-0.05
0
0.05
0.1
0.15
0.2
0.25
0.3
0.35
200
7m1
200
7m4
200
7m7
200
7m10
200
8m1
200
8m4
200
8m7
200
8m10
200
9m1
200
9m4
200
9m7
200
9m10
201
0m1
201
0m4
201
0m7
201
0m10
201
1m1
201
1m4
201
1m7
201
1m10
Corn LiveCattle Sugar Soybean Wheat
Daily movements of the Brazilian Real spot and 12 month future prices: no future in the futures
and no price discovery
Daily movements in the WTI spot and 12 month future prices: the future is more uncertain than
ever before
Information generation and use is inefficient in financial markets: Herding and price distortion but no additional liquidity from financial markets