Macro Financial Factors And Commodity Futures Pricing

As abundant capital in international and domestic financial markets spills into commodity markets,commodity markets have been led to the so-called “financialization of commodities” situation since the 2008 financial crisis.In the background of financialization of commodities,commodities are regarded as assets with characteristics that are similar to those of stocks,bonds and other financial assets,and become the object of asset allocation.Therefore,commodities have financial attributes,and commodity prices are not only driven by the impacts of the economic fundamentals,but also by changes in the macro financial environment.In order to investigate the effect of financial attributes of commodities on commodities prices and measure the influence of macro financial factors on commodity futures pricing,this paper embeds the mechanism of how macro financial factors influence commodity prices into commodity futures pricing models.This paper extends the LT model proposed by Liu & Tang(2011)to embed the influence mechanism into the commodity pricing model through implied interest rate channel and spot price channel respectively,realizes the combination of pricing model and the influence mechanism,and further analyzes how macro financial factors influence commodity prices.In this paper,the trading data of five commodity futures contracts is adopted to analyze the effects of the macro financial factors on commodity futures pricing.The data used is collected from China's commodity futures market in the period of 2007 to 2017 and includes copper,aluminum,zinc,natural rubber and soybean.Firstly,the influence mechanism of market interest rate on commodity futures price is considered through the implied interest rate channel of commodity futures and the nested pricing model of interest rate is established to analyze the reaction mode of the cost of capital implied in commodity futures to the financial market information contained in market interest rate;secondly,starting from the financial impact to spot price,this paper assumes that commodity spot price is driven by the financial factors of the overall financial market environment,and establishes the dynamic mechanism of financialization impact index,which measures the degree and process of financialization,and the nested pricing model of financialization impact index is constructed.The empirical results show that:(1)the information transmission mechanism of macro financial factors in commodity markets depends on specified commodity.Different commodities show different reaction mechanism to market information;(2)Information transmission in financial market exerts effects on commodity futures prices through two channels of implied interest rate and spot price;(3)information in real market interest rate is absorbed by implied long-term equilibrium interest rate to influence long-term level of basis and is absorbed by volatility of implied interest rate to influence the impact strength of implied interest rate to basis;(4)the financialization impact index that measures the effect of financial attributes of commodities on commodities prices is faced with downward pressure,and the negative effect of financialization of commodities is outstanding.Meanwhile,Chinese commodity prices are significantly affected by the dollar index,reflecting the U.S.dollar's global dominance and the embarrassment of lacking of pricing rights of Chinese commodity market.