[VFN] INVITATION Oct 29: WU Gutmann Center Public Lecture Suleyman Basak LBS: "The Financialization of Commodities"
alois.geyer at wu.ac.at
Tue Oct 22 11:18:40 CEST 2013
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
Date: OCTOBER 29 (Tuesday), 2013, 4:00 pm
Location: NOTE! Other than stated in an earlier invitation the public lecture takes
place at Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien
Speaker: Prof. Suleyman Basak, London Business School and CEPR
Title: "The Financialization of Commodities "
A sharp increase in the popularity of commodity investing in the past decade has triggered
an unprecedented inflow of institutional funds into commodity futures markets. Such
financialization of commodities coincided with significant booms and busts in commodity
markets, raising concerns of policymakers. In this talk, I explore the effects of
financialization in a model that features institutional investors alongside traditional futures
markets participants. The institutional investors care about their performance relative to a
commodity index. We find that if a commodity futures is included in the index, supply and
demand shocks specific to that commodity spill over to all other commodity futures markets.
In contrast, supply and demand shocks to a nonindex commodity affect just that commodity
market alone. Moreover, prices and volatilities of all commodity futures go up, but more so
for the index futures than for nonindex ones. Furthermore, financialization - the presence of
institutional investors - leads to an increase in correlations amongst commodity futures as
well as in equity-commodity correlations. Consistent with empirical evidence, the increases
in the correlations between index commodities exceed those for nonindex ones. We perform
a simple calibration and find that financialization accounts for 11% to 17% of commodity
futures prices and the rest is attributable to fundamentals.
About Suleyman Basak:
Dr. Basak is Professor of Finance at London Business School and a Research Fellow to the
Center of Economic Policy Research. He was an Assistant Professor of Finance at the
Wharton School of the University of Pennsylvania, was a visitor at the Graduate School of
Business at the University of Chicago, and acted as a consultant to Goldman, Sachs & Co.
He received his Ph.D. in Financial Economics from Carnegie Mellon University. Dr. Basak´s
research focuses on asset pricing, asset allocation, risk management, market imperfections,
international finance and financial innovation. His work has addressed issues related to
portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage,
incentive problems plaguing institutional asset management, and mispricing, arbitrageurs
and monopoly power in financial markets. His research is the recipient of several awards
including the American Association of Individual Investors Award for the Best Paper on
Investments, and the Alexander Henderson Award for Excellence in Economic Theory.
Mail: gutmann-center at wu.ac.at
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
More information about the VFN-L