Speculative impacts on grains price volatility
AbstractThe paper examines the impact of changes in the positions of financial actors on the volatilities of Chicago grains and vegetable oil prices using a GARCH-X framework within which a variant of Granger-causality tests can be performed. The paper analyses both the position data in the post-2006 CFTC Commitments of Traders reports and the data on index provider positions in the Supplemental reports. A test of the Masters hypothesis that index trading increase volatility fails to find support.
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Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122540.
Date of creation: 23 Feb 2012
Date of revision:
Risk and Uncertainty;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-15 (All new papers)
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