Abstract
ABSTRACT 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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