美联储-金融压力会影响商品期货交易者的头寸吗？（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Does Financial Stress Affect Commodity Futures Traders’Positions?Shengwu Du, Travis D. Nesmith, Yang Heppe2025-082Please cite this paper as:Du, Shengwu, Travis D. Nesmith, and Yang Heppe (2025).“Does Financial Stress Af-fect Commodity Futures Traders’ Positions?,” Finance and Economics Discussion Se-ries 2025-082.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2025.082.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Does Financial Stress Affect Commodity Futures Traders’ Positions?Shengwu Du∗, Travis D. Nesmith†, and Yang Heppe ‡Quantitative Risk Analysis, Federal Reserve BoardSeptember 7, 2025AbstractFinancial stress can impact trading behavior in the U.S. commodity futures markets. To clarify theimpact, we study absolute changes and relative exposure dynamics in traders’ positions during tworecent crises: the 2008 Global Financial Crisis (GFC) and the COVID-19 pandemic. The nature ofthese two crises are very distinct, and we find that traders behaved quite differently. The commoditymarket collapse during the 2008 GFC followed the classic pattern of a speculative bubble; speculators,including financial institutions and money managers, rushed to close their long positions in commodityfutures while commodity producers or hedgers actively facilitated these trades. Consequently, the riskin commodity futures flowed from speculators back to producers. In sharp contrast, no evidence isfound to support this type of risk flow during the COVID-19 crisis. Stress in the financial system wasrelatively mild compared with the 2008 GFC, and the commodity market experienced a strong rallyearly in the crisis. Both speculators and hedgers traded in an orderly fashion. In terms of traders’relative exposures, we find that the impact from financial stress was immaterial. We also find that spec-ulators generally reacted to changing financial conditions more strongly than hedgers, during the period.Keywords: Commodities, Futures, Financial Stability, Market Volatility, COVID-19, 2008 GFCjel: G01,G13, Q02∗Corresponding author, Email: shengwu.du@frb.gov.†Email: travis.d.nesmith@frb.gov.‡Email:yheppe@ucsd.edu.We wish to thank our colleagues at the Board, at the Federal Reserve Bank of Chicago, as well as the Federal Reserve Bank ofDallas, for many fruitful discussions. We also wish to thank Haibo Jiang for his excellent discussion and the other reviewersfor