Commodity Literature DB
A database in which I collect papers published in Quarterly Journal of Economics, American Economic Review, Econometrica, Journal of Political Economy, Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Review of Finance, and Management Science about Commodities. The list is not exhaustive and updated unregaluarly.
2023
Management Science
Financialization and Commodity Markets Serial Dependence, by Zhi Da, Ke Tang, Yubo Tao, and Liyan Yang, 70(4), pp. 2122-2143.
2022
Journal of Finance
Commodity Financialization and Information Transmission, by Itay Goldstein and Liyan Yang, 77(5), pp. 2613-2667.
Review of Financial Studies
Order Flows and Financial Investor Impacts in Commodity Futures Markets, by Mark J Ready and Robert C Ready, 35(10), pp. 4712-4755.
2021
Management Science
The Financialization of Storable Commodities, by Steven D. Baker, 67(1), pp. 471-499.
2020
Journal of Finance
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets, by Wenjin Kang, K Geert Rouwenhorst, and Ke Tang, 75(1), pp. 377-417.
Management Science
The Financialization of Storable Commodities, by Steven B. Baker, 67(1), pp. 471-499
2019
American Economic Review
Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks, by Christiane Baumeister and James D. Hamilton, 109(5), pp. 1873-1910.
Review of Financial Studies
The Economic Impact of Index Investing by Jonathan Brogaard, Matthew C Ringgenberg, David Sovich, 32(9), pp. 3461–3499.
Journal of Financial Economics
Gold, platinum, and expected stock returns, by Darien Huang and Mete Kilic, 132(3), pp. 50-75.
Journal of Financial and Quantitative Analysis
Factor Structure in Commodity Futures Return and Volatility, by Peter Christoffersen, Asger Lunde, and Kasper V. Olesen, 54(3), pp. 1083-1115.
2018
Journal of Financial Economics
Carry, by Ralph S.J. Koijen, Tobias J. Moskowitz, Lasse Heje Pedersen, and Evert B. Vrugt, 127(2), pp. 197-225.
Review of Finance
Futures Trading and the Excess Co-movement of Commodity Prices, by Yannick Le Pen, Benoît Sévi, 22(1), pp. 381-418.
2017
Journal of Finance
Commodity Trade and the Carry Trade: A Tale of Two Countries, by Robert Ready, Nikolai Roussanov, and Colin Ward, 72(6), pp. 2629-2684.
Review of Financial Studies
The Information Content of a Nonlinear Macro-Finance Model for Commodity Prices, by Saqib Khan, Zeigham Khokher, and Timothy Simin, 30(8), pp. 2818-2850. Corrigendum
Management Science
Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns, by Gurdip Bakshi, Xiaohui Gao, and Alberto G Rossi, 65(2), pp. 619-641.
2016
Journal of Finance
A Model of Financialization of Commodities, by Suleyman Basak and Anna Pavlova, 71(4), pp. 1511-1556
Review of Financial Studies
Commodities as Collateral, by Ke Tang, Haoxiang Zhu, 29(8), pp. 2110-2160.
2015
Journal of Finance
Informational Frictions and Commodity Markets, by Michael Sockin and Wei Xiong, 70(5), pp. 2063-2098.
Review of Financial Studies
New evidence on the financialization of commodity markets, by Brian J. Henderson, Neil D. Pearson, and Li Wang, 28(5), pp. 1285-1311.
Review of Finance
Convective Risk Flows in Commodity Futures Markets, by Ing-Haw Cheng, Andrei Kirilenko, and Wei Xiong, 19(5), pp. 1733-1781.
2014
Journal of Finance
An Anatomy of Commodity Futures Risk Premia, by Marta Szymanowska, Frank De Roon, Theo Nijman, and Rob Van Den Goorbergh, 69(1), pp. 453-482.
Review of Financial Studies
Speculation and Hedging in Segmented Markets, by Itay Goldstein, Yan Li, and Liyan Yang, 27(3), pp. 881-922.
Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors, by Geetesh Bhardwaj, Gary B. Gorton, and K. Geert Rouwenhorst, 27(11), pp. 3099-3132.
2013
Journal of Finance
Value and Momentum Everywhere, by Clifford S Asness, Tobias J Moskowitz, and Lasse Heje Pedersen, 68(3), pp. 929-985.
Review of Financial Studies
Economic Linkages, Relative Scarcity, and Commodity Futures Returns, by Jaime Casassus, Peng Liu, and Ke Tang, 26(5), pp. 1324-1362.
Determinants of Trader Profits in Commodity Futures Markets, by Michaël Dewally, Louis H. Ederington, and Chitru S. Fernando, 26(10), pp. 2648-2683.
Journal of Financial Economics
Investment shocks and the commodity basis spread, by Fan Yang, 110(1), pp. 164-184.
Limits to arbitrage and hedging: Evidence from commodity markets, Viral V. Acharya, Lars A. Lochstoer, and Tarun Ramadorai, 109(2), pp. 441-465.
Review of Finance
The Fundamentals of Commodity Futures Returns, by Gary B. Gorton, Fumio Hayashi, K. Geert Rouwenhorst, 17(1), pp. 35-105.
Management Science
Investor Flows and the 2008 Boom/Bust in Oil Prices, by Kenneth J Singleton, 60(2), pp. 300-318.
2012
Review of Financial Studies
Commodity Liquidity Measurement and Transaction Costs, by Ben R Marshall, Nhut H Nguyen, and Nuttawat Visaltanachoti, 25(2), pp. 599-638.
Journal of Financial Economics
What does futures market interest tell us about the macroeconomy and asset prices?, by Harrison Hong and Motohiro Yogo, 105(3), pp. 473-490.
2010
Quarterly Journal of Economics
Can Exchange Rates Forecast Commodity Prices?, by Yu-Chin Chen, Kenneth S. Rogoff, and Barbara Rossi, 125(3), 1145-1194.
2009
American Economic Review
Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, by Lutz Kilian, 99(3), pp. 1053-1069.
Journal of Finance
Oil Futures Prices in a Production Economy with Investment Constraints, by Leonid Kogan, Dmitry Livdan, and Amir Yaron, 64(3), pp. 1345-1375.
Review of FInancial Studies
Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives, by Anders B. Trolle and Eduardo S. Schwartz, 22(11), pp. 4423-4461.
2005
Journal of Finance
Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates, by Jaime Casassus and Pierre Collin-Dufresne, 60(5), pp. 2283-2331.
2000
Journal of Finance
Equilibrium Forward Curves for Commodities, by Bryan R. Routledge, Duane J. Seppi, and Chester S. Spatt, 55(3), pp. 1297-1338.
Hedging Pressure Effects in Futures Markets, by Frans A. De Roon, Theo E. Nijman, and Chris Veld, 55(3), pp. 1437-1456.
Management Science
Short-Term Variations and Long-Term Dynamics in Commodity Prices, by Eduardo Schwartz and James E. Smith, 46(7), pp. 893-911.
1999
Review of Financial Studies
Hedging Long-Term Exposures with Multiple Short-Term Futures Contracts, by Anthony Neuberger, 12(3), pp. 429-459.
1997
Journal of Finance
The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging, by Eduardo S Schwartz, 53(3), pp. 923-973.
1996
Journal of Political Economy
Competitive Storage and Commodity Price Dynamics, by Angus Deaton and Guy Laroque, 104(5), pp. 896-923.
1995
Journal of Finance
Backwardation in Oil Futures Markets: Theory and Empirical Evidence, by Robert H Litzenberger and Nur Rabinowitz, 50(5), pp. 1517-1545.
1992
Review of Financial Studies
Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets, by Hendrik Bessembinder, 5(4), pp. 637-667.
1990
Econometrica
Hedging Pressure and Futures Price Movements in a General Equilibrium Model, by David Hirshleifer, 58(2), pp. 411-428.
1988
Journal of Political Economy
Risk, Futures Pricing, and the Organization of Production in Commodity Markets, by David Hirshleifer, 96(6), pp. 1206-1220.
Review of Financial Studies
Residual Risk, Trading Costs, and Commodity Futures Risk Premia, by David Hirshleifer, 1(2), pp. 173-193.
1985
Management Science
Options on Commodity Forward Contracts, by Edward O Thorp, 31(10), pp. 1232-1236.
1983
Econometrica
The Determination of Spot and Futures Prices with Storable Commodities, by Stephen J Turnovsky, 51(5), pp. 1363-1387.
1976
Journal of Financial Economics
The Pricing of Commodity Contracts, by Fischer Black, 3(1-2), pp. 167-179.
1975
Journal of Finance
Temporal Price Behavior in Commodity Futures Markets, by Thomas F Cargill and Gordon C Rausser, 30(4), pp. 1043-1053.
1960
Journal of Political Economy
Returns to Speculators: Telser versus Keynes, by Paul H. Cootner, 68(4), pp. 396-404.
1958
Journal of Political Economy
Futures Trading and the Storage of Cotton and Wheat, by Lester G Telser, 66(3), pp. 233-255.