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Analyse d’une Nouvelle Emergence de l’Instabilité des Prix des Matières Premières Agricoles

Author

Listed:
  • Abdoul Salam DIALLO
  • Véronique MEURIOT
  • Michel TERRAZA

Abstract

L’influence de la spéculation sur les marchés des matières premières a été, depuis longtemps, au centre des débats entre chercheurs, en particulier celui de la nature complexe de la causalité entre les marchés. Nous étudions, dans cet article, la relation qui peut exister entre les marchés financiers et les marchés des matières premières, et nous posons comme hypothèse que l’hétérogénéité des participants au marché est la cause de cette complexité. Pour vérifier ce propos, nous recourons à la transformée en ondelettes des données qui permet d’isoler les composantes relatives aux fréquences de « trading » des agents et d’analyser les relations de causalité entre paires de fréquences correspondantes.[...]

Suggested Citation

  • Abdoul Salam DIALLO & Véronique MEURIOT & Michel TERRAZA, 2012. "Analyse d’une Nouvelle Emergence de l’Instabilité des Prix des Matières Premières Agricoles," Working Papers 12-01, LAMETA, Universtiy of Montpellier, revised Jan 2012.
    • Handle: RePEc:lam:wpaper:12-01
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    File URL: http://www.lameta.univ-montp1.fr/Documents/DR2012-01.pdf
    File Function: First version, 2012
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    Cited by:

    1. Karyotis, Catherine & Alijani, Sharam, 2016. "Soft commodities and the global financial crisis: Implications for the economy, resources and institutions," Research in International Business and Finance, Elsevier, vol. 37(C), pages 350-359.

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