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Speculative impacts on grains price volatility

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  • Gilbert, Christopher L.
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    Abstract

    The 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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    File URL: http://purl.umn.edu/122540
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    Bibliographic Info

    Paper provided by European Association of Agricultural Economists in its series 123rd Seminar, February 23-24, 2012, Dublin, Ireland with number 122540.

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    Date of creation: 23 Feb 2012
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    Handle: RePEc:ags:eaa123:122540

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    Keywords: Risk and Uncertainty;

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    1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    2. Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
    3. Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009. "A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53050, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
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