Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis
AbstractThis paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values. This approach allows to test for causality on each market by accounting for the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.
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Bibliographic InfoPaper provided by CEPII research center in its series Working Papers with number 2011-28.
Date of creation: Dec 2011
Date of revision:
Speculation; financialization; food crisis; soft commodities; index funds; panel Granger causality;
Other versions of this item:
- Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," Economie Internationale, CEPII research center, issue 126-127, pages 51-72.
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General
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