The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results
AbstractThis preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets.
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Bibliographic InfoPaper provided by OECD Publishing in its series OECD Food, Agriculture and Fisheries Papers with number 27.
Date of creation: Jun 2010
Date of revision:
futures price volatility; index funds and swaps; speculation; agricultural futures markets; speculative bubbles;
This paper has been announced in the following NEP Reports:
- NEP-AGR-2010-07-03 (Agricultural Economics)
- NEP-ALL-2010-07-03 (All new papers)
- NEP-ENE-2010-07-03 (Energy Economics)
- NEP-FMK-2010-07-03 (Financial Markets)
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