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Speculative Influences On Commodity Futures Prices 2006-2008

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  • Christopher L. Gilbert

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.

Suggested Citation

  • Christopher L. Gilbert, 2010. "Speculative Influences On Commodity Futures Prices 2006-2008," UNCTAD Discussion Papers 197, United Nations Conference on Trade and Development.
    • Handle: RePEc:unc:dispap:197
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