Advanced Search
MyIDEAS: Login

Speculative Influences On Commodity Futures Prices 2006-2008

Contents:

Author Info

  • Christopher L. Gilbert
Registered author(s):

    Abstract

    This paper examines the possible price impact of speculative bubbles and index-based investment activity on commodity futures prices over 2006–2008. I look specifically at crude oil, three non-ferrous metals (aluminium, copper and nickel) and three agricultural commodities (wheat, corn and soybeans). There is significant evidence for periods of explosive bubble behaviour in the copper market where I find three separate bubbles. I also identify a bubble in the soybeans market. The evidence for bubble behaviour is weaker for crude oil and nickel. Aluminium, corn and wheat appear to have been bubble-free. I also examine the effects of index-based investment on the same markets. There is strong evidence that index-based investment did contribute to the rises in oil and metals prices over 2006–2008 but weaker evidence for similar effects on grains prices. The maximum impact may have been to raise prices by the order of 15 per cent.

    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://www.unctad.org/en/docs/osgdp20101_en.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by United Nations Conference on Trade and Development in its series UNCTAD Discussion Papers with number 197.

    as in new window
    Length:
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:unc:dispap:197

    Contact details of provider:
    Postal: Palais des Nations, CH - 1211 Geneva 10
    Phone: +41 22 907 12 34
    Fax: +41 22 907 00 43
    Email:
    Web page: http://www.unctad.org/Templates/Page.asp?intItemID=2101&lang=1
    More information through EDIRC

    Related research

    Keywords:

    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. Manuel Agosin & Roberto Machado, 2005. "Foreign Investment in Developing Countries: Does it Crowd in Domestic Investment?," Oxford Development Studies, Taylor & Francis Journals, vol. 33(2), pages 149-162.
    2. Heiner FLASSBECK, 2002. "The Exchange Rate: Economic Policy Tool Or Market Price?," UNCTAD Discussion Papers 157, United Nations Conference on Trade and Development.
    3. Sebastian Dullien, 2009. "Central Banking, Financial Institutions And Credit Creation In Developing Countries," UNCTAD Discussion Papers 193, United Nations Conference on Trade and Development.
    4. Lucas Assuncao & ZhongXiang Zhang, 2002. "Domestics Climate Change Policies And The Wto," UNCTAD Discussion Papers 164, United Nations Conference on Trade and Development.
    5. S.M. Shafaeddin, 2002. "The Impact Of China´S Accession To Wto On The Exports Of Developing Countries," UNCTAD Discussion Papers 160, United Nations Conference on Trade and Development.
    6. Ugo Panizza, 2008. "Domestic And External Public Debt In Developing Countries," UNCTAD Discussion Papers 188, United Nations Conference on Trade and Development.
    7. Marwan Elkhoury, 2007. "Credit Rating Agencies And Their Potential Impact On Developing Countries," UNCTAD Discussion Papers 186, United Nations Conference on Trade and Development.
    8. S.M. Shafaeddin, 2005. "Trade Liberalization And Economic Reform In Developing Countries: Structural Change Or De-Industrialization?," UNCTAD Discussion Papers 179, United Nations Conference on Trade and Development.
    9. Martina Metzger, 2008. "Regional Cooperation And Integration In Sub-Saharan Africa," UNCTAD Discussion Papers 189, United Nations Conference on Trade and Development.
    10. Robert Rowthorn & Ken Coutts, 2004. "De-Industrialization And The Blance Of Payments In Advanced Economies," UNCTAD Discussion Papers 170, United Nations Conference on Trade and Development.
    11. Mehdi SHAFAEDDIN, 2000. "What Did Frederick List Actually Say? Some Clarifications On The Infant Industry Argument," UNCTAD Discussion Papers 149, United Nations Conference on Trade and Development.
    12. Shigehisa Kasahara, 2004. "The Flying Geese Paradigm: A Critical Study Of Its Application To East Asian Regional Development," UNCTAD Discussion Papers 169, United Nations Conference on Trade and Development.
    13. Yuefen Li, 2003. "China´S Accession To Wto: Exaggerated Fears?," UNCTAD Discussion Papers 165, United Nations Conference on Trade and Development.
    14. B. Andersen, & Z. Kozul-Wright & R. Kozul-Wright, 2000. "Copyrights, Competition And Development: The Case Of The Music Industry," UNCTAD Discussion Papers 145, United Nations Conference on Trade and Development.
    15. Michael Geiger, 2008. "Instruments Of Monetary Policy In China And Their Effectiveness: 1994–2006," UNCTAD Discussion Papers 187, United Nations Conference on Trade and Development.
    16. Alberto Gabriele, 2004. "Policy Alternatives In Reforming Power Utilities In Developing Countries: A Critical Survey," UNCTAD Discussion Papers 168, United Nations Conference on Trade and Development.
    17. Alberto GABRIELE, 2001. "Science And Technology Policies, Industrial Reform And Technical Progress In China. Can Socialist Property Rights Be Compatible With Technological Catching Up?," UNCTAD Discussion Papers 155, United Nations Conference on Trade and Development.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Beckmann, Joscha & Czudaj, Robert, 2014. "Volatility transmission in agricultural futures markets," Economic Modelling, Elsevier, vol. 36(C), pages 541-546.
    2. Etienne, Xiaoli L. & Irwin, Scott H. & Garcia, Philip, 2014. "Bubbles in food commodity markets: Four decades of evidence," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 129-155.
    3. Jayati Ghosh, 2011. "Implications of regulating commodity derivatives markets in the USA and EU," PSL Quarterly Review, Economia civile, vol. 64(258), pages 287-304.

    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:unc:dispap:197. 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: (Rachid Bouhia).

    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.