상품시장의 금융화와 헤지펀드의 금융적 투기
The Financialization in the Commodity Markets and Hedge Funds’ Financial Speculation
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
이 논문은 헤지펀드 등 금융기관들의 금융적 투기가 효율시장가설의주장과 달리 상품시장의 가격변동과 왜곡을 발생시킬 수 있고, 따라서이러한 시장에 대한 엄격한 규제가 필요하다는 것을 주장한다. 효율시장가설은 헤지펀드가 가격위험을 헤징하고 정확한 가격을 발견하는데 중요한 역할을 한다고 주장하지만, 이 글은 이와 반대로 선물시장에서 헤지펀드의 거래가 증가할수록 가격이 장기균형가격으로 수렴하는 속도가저하되는 등의 왜곡현상이 나타난다고 주장한다. 또한 선물시장에서의투기적 거래가 역사적인 수준으로부터 크게 벗어나지 않았다는 주장과달리, 과잉투기(excessive speculation)가 존재하였으며 과잉투기를 이끈 헤지펀드 등에 의해 선물가격이 비정상적으로 폭등하였다. 선물시장에서의가격폭등은 현물-선물등가법칙에 의해 곧바로 현물시장의 가격폭등을유발시키고, 그 결과 경제 전체적으로 나쁜 영향을 주게 된다.
Abstract
This paper suggests that, in contrast to main argument of Efficient Market Hypothesis, hedge funds’s financial speculation activity in the commodity markets are tending to generate a malfunction of making future price diverge from fundamental price. For this reason, we insist that stricter regulation on commodity derivative markets, including position limitation, is needed. Using some statistic analysis tools, we show that derivative transaction volume is getting so larger that financial speculation by hedge funds dominates price movement in commodity market and eventually slackens the speed of price’s return to the fundamental price.
참고문헌 (26)
- Barberis, N., "Comovement", Journal of Financial Economics, 75 (2005)
- Dynamic Adjustment of Stock Prices to the Fundamental Value, "Broertjes, P", ~ (2010)
- Brunnermeir, M, "the Hedge Funds and Technology Bubble", Journal of Finance, 59(5) (2004)
- Chincarini, L., "Natural Gas Futures and Spread Position Risk: Lession From the Collapse of Amaranth Advisors L.L.C", ~ (2007)
- Das, S, "파생상품, 드라마틱한 수익률의 세계" (2010), 아경북스
- Falkowski, M., "Financialization of Commodities", Contemporary Economics, 5(4) (2011)
- Ghosh, J, "Speculation on Commodity Future Markets and Destabilization of Global Food Prices: Exploring the Connections" (2011), PERI
- Greenberger, M., "the Relationship of Unregulated Excessive Speculation to Oil Market Price Volatity", Workin Paper for International Energy Forum (2009)
- Kaufmann, R. K., "the Role of Market Fundamentals and Speculation in Recent Price Changes for Crude Oil", Energy Economics, 39(1) (2011)
- Krugman, P, "the Oil Nonbubble", The New York Times Opinion, ~ (2008)
- Interim Report on Crude Oil, "Interagency Task Force on Commodity Markets", ~ (2008)
- Irwin, S. H., "Devil or Angel: the Role of Speculation in the Recent Commodity Price Boom" (2008), Farrell Distinguished Public Policy Lecture
- Iwaisako, T., "Global Financial Crisis, Hedge Funds, and Shadow Banking System", Public Policy Review, 6 (2010), Policy Research Institute
- Understanding Crude Oil Prices, "Hamilton, P. D", ~ (2008)
- Lardic, S., "Oil Prices and Economic Activity: An asymmetic Cointegration Approach", Energy Economics, 30 (2008)
- Masters, M. W, "The Accidental Hunt Brothers: How Institutional Investors Are Driving Up Food Prices", ~ (2008)
- Sanders, D. R., "A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence", NCCC, 134 (2009)
- Sanders, D. R, "The Adequacy of Speculation in Agricultural Future Markets: Too Much of a Good Thing?", Applied Economic Perspective and Policy, 32(1) (2010)
- Sheeran, J, "Testimony before the U.S. Senate Committee on Foreign Relations", ~ (2008)
- Shleifer, A., "Positive Feedback Investment Strategy, In Inefficient Markets: An Introduction to Behavioral Finance" (2000)
- Shleifer, A., "Are Financial Markets Efficient?, In Inefficient Markets: An Introduction to Behavioral Finance" (2000)
- Till, H., "Has There Been Excessive Speculation in the US Oil Future Markets?" (2009), EDHEC-Risk Institute
- Triulzi, U., "Does Speculation Drive Oil Prices?", ~ (2010)
- UNCTAD, "Price Formation in Financializied Commodity Markets: the Role of Information", Report for the U.N. Conference (2011)
- Working, H., "Future Trading and Hedging", American Economic Review, 43 (1953)
- Ziegler, J, "왜 세상의 절반은 굶주리는가?" (2000)