Financial regulatory arbitrage and the financialization of commodities

IF 1.8 4区 经济学 Q2 BUSINESS, FINANCE Journal of Futures Markets Pub Date : 2024-02-25 DOI:10.1002/fut.22493
Zunxin Zheng, Gaiyan Zhang, Yingzhao Ni
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Abstract

We explore the effects of financial regulatory arbitrage on commodity pricing. We examine two types of financial arbitrage: capital-control arbitrage, in which commodities are imported to circumvent capital controls and profit from disparities in interest rates between domestic and international markets, and dual-track interest-rate arbitrage, in which commodities are utilized as collateral to capitalize on domestic dual-track interest-rate spreads. Our findings demonstrate that both forms of arbitrage positively affect commodity price returns. However, they affect the inverse relationship between inventory and convenience yield differently. While capital-control arbitrage can either amplify or weaken this relationship, dual-track arbitrage makes it less negative.

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金融监管套利与商品金融化
我们探讨了金融监管套利对商品定价的影响。我们研究了两种类型的金融套利:资本管制套利,即进口商品以规避资本管制,并从国内和国际市场的利率差异中获利;双轨利率套利,即利用商品作为抵押品,从国内双轨利率差中获利。我们的研究结果表明,这两种形式的套利都会对商品价格收益产生积极影响。不过,它们对库存和便利收益率之间反比关系的影响有所不同。资本管制套利可以放大或削弱这种关系,而双轨套利则使这种关系的负面影响降低。
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来源期刊
Journal of Futures Markets
Journal of Futures Markets BUSINESS, FINANCE-
CiteScore
3.70
自引率
15.80%
发文量
91
期刊介绍: The Journal of Futures Markets chronicles the latest developments in financial futures and derivatives. It publishes timely, innovative articles written by leading finance academics and professionals. Coverage ranges from the highly practical to theoretical topics that include futures, derivatives, risk management and control, financial engineering, new financial instruments, hedging strategies, analysis of trading systems, legal, accounting, and regulatory issues, and portfolio optimization. This publication contains the very latest research from the top experts.
期刊最新文献
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