Advanced Search
MyIDEAS: Login

Have food and financial markets integrated? An empirical assessment on aggregate data

Contents:

Author Info

  • Lehecka, Georg
Registered author(s):

    Abstract

    This paper analyzes co-movements and discusses possible market integration between aggregate food and stock markets in the period of 1990 to 2012. Correlations, price return distributions, cointegration, and Granger-causalities are tested in subsamples on monthly FAO Food Price Index and MSCI World Stock Market Index data to better assess why and whether linkages between food and financial markets have increased. Empirical results suggest that while there is only weak indication of greater co-movements concurrent with structural changes such as changed agricultural policies, new demand due to growth in emerging markets and energy mandates, and the financialization of food markets since the early 2000s, they did start to increase in particular substantially during the financial stress of the Lehman crisis and the Great Recession. It is concluded that while structural changes may have amplified price linkages across markets, results do not suggest that they are the key factors for greater price co-movements. Instead, it is discussed that the effects of the late-2000s recession as a time of great economic weakness and uncertainty may have changed concurrently the behavior of both food and financial market participants, such that different market prices exhibit increased co-movements.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://purl.umn.edu/156108
    Download Restriction: no

    Bibliographic Info

    Paper provided by German Association of Agricultural Economists (GEWISOLA) in its series 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 with number 156108.

    as in new window
    Length:
    Date of creation: 2013
    Date of revision:
    Handle: RePEc:ags:gewi13:156108

    Contact details of provider:
    Postal: Bundesallee 50, 38116 Braunschweig
    Phone: 0531 / 596 5501
    Fax: 0531 / 596 5599
    Email:
    Web page: http://www.gewisola.de/
    More information through EDIRC

    Related research

    Keywords: co-movements; financialization; food commodity market; market integration; stock market; structural change; Demand and Price Analysis; Financial Economics;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
    2. Wright, Brian, 2009. "International grain reserves and other instruments to address volatility in grain markets," Policy Research Working Paper Series 5028, The World Bank.
    3. Bruce Bjornson & Colin A. Carter, 1997. "New Evidence on Agricultural Commodity Return Performance under Time-Varying Risk," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(3), pages 918-930.
    4. Irwin, Scott H. & Sanders, Dwight R., 2012. "Financialization and Structural Change in Commodity Futures Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(03), August.
    5. Kellard, Neil & Wohar, Mark E., 2006. "On the prevalence of trends in primary commodity prices," Journal of Development Economics, Elsevier, vol. 79(1), pages 146-167, February.
    6. Radetzki, Marian, 2006. "The anatomy of three commodity booms," Resources Policy, Elsevier, vol. 31(1), pages 56-64, March.
    7. Colin A. Carter & Gordon C. Rausser & Aaron Smith, 2011. "Commodity Booms and Busts," Annual Review of Resource Economics, Annual Reviews, vol. 3(1), pages 87-118, October.
    8. David I. Harvey & Neil M. Kellard & Jakob B. Madsen & Mark E. Wohar, 2010. "The Prebisch-Singer Hypothesis: Four Centuries of Evidence," The Review of Economics and Statistics, MIT Press, vol. 92(2), pages 367-377, May.
    9. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.
    10. Scott H. Irwin & Dwight R. Sanders, 2011. "Index Funds, Financialization, and Commodity Futures Markets," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 33(1), pages 1-31.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ags:gewi13:156108. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.