A new systemically important commodity future index in Chinese market

被引：0
|
作者：
Liu, Qing [1 ]
Feng, Yun [1 ]
Xu, Mengxia [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[2] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2024年
基金：
中国国家自然科学基金;
关键词：
Systemic importance; commodity future index; financialization; systemic risk;
D O I：
10.1080/13504851.2024.2303379
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
An eligible commodity futures index should serve as a forward-looking economic indicator and an indispensable investment target for investors. To depict the increasing interdependence of commodity prices and thus higher systemic risk under financialization, we innovatively construct a systemically important commodity futures index (SICFI) which effectively predicts systemic risk for real-time monitoring in the Chinese commodity futures market. Additionally, SICFI outperforms existing indices in terms of information quality, stability, macroeconomic indicators predictability, and investability. Finally, it is available to develop SICFI for the global market under financialization.
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页数：9
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