  We propose a stylized model of production and exchange in which long-term
investors set their production decision over a horizon {\tau} , the "time to
produce", and are liquidity constrained, while financial investors trade over a
much shorter horizon {\delta} (<< {\tau} ) and are therefore more duly informed
on the exogenous shocks affecting the production output. The equilibrium
solution proves that: (i) long-term producers modify their production decisions
to anticipate the impact of short-term investors allocations on prices; (ii)
short-term investments return a positive expected profit commensurate to the
informational advantage. While the presence of financial investors improves the
efficiency of risk allocation in the short-term and reduces price volatility,
the model shows that the aggregate effect of commodity market financialization
results in rising the volatility of both farms' default risk and production
output.
