论文标题：The impact of liquidity risk in the Chinese banking system on the global commodity markets

发表时间：Volume 66, March 2022, Pages 23-50

论文所有作者：Yonghwan Jo, Jihee Kim, Francisco Santos

期刊名及所属分类：Journal of Empirical Finance, SSCI

英文摘要：We show that liquidity risk in the Chinese banking system, via the demand of commodities as collateral, affects commodity markets. Investors in China, to circumvent capital controls, import commodities, collateralize them, and use the loan proceeds to invest in domestic banking products. The Chinese banking system plays a crucial role in every step of this process. Thus, liquidity risk in the Chinese banking system may impact the demand of commodities as collateral. We find empirically that the liquidity risk affects excess returns and risk premium in commodity futures in Chinese and global markets. Our findings give new insights into commodity markets by unraveling their risk exposure to the Chinese interbank market due to the financialization of commodities.