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Index trading and agricultural commodity prices: A panel Granger causality analysis

  • Gunther Capelle-Blancard
  • Dramane Coulibaly

This 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 in order to take into account 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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Article provided by CEPII research center in its journal International Economics/Economie Internationale.

Volume (Year): (2011)
Issue (Month): 126-127 ()
Pages: 51-72

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Handle: RePEc:cii:cepiei:2011-q2-3-126-127-4
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  1. Guesnerie, Roger & Rochet, Jean-Charles, 1993. "(De)stabilizing speculation on futures markets : An alternative view point," European Economic Review, Elsevier, vol. 37(5), pages 1043-1063, June.
  2. Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
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  4. Stein, Jeremy C., 1987. "Informational Externalities and Welfare-Reducing Speculation," Scholarly Articles 3660740, Harvard University Department of Economics.
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  8. Gary Gorton & K. Rouwenhorst, 2004. "Facts and Fantasies about Commodity Futures," Yale School of Management Working Papers amz2619, Yale School of Management, revised 01 Mar 2005.
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  14. Turnovsky, Stephen J, 1983. "The Determination of Spot and Futures Prices with Storable Commodities," Econometrica, Econometric Society, vol. 51(5), pages 1363-87, September.
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  18. repec:cep:stitep:/1984/92 is not listed on IDEAS
  19. Konya, Laszlo, 2006. "Exports and growth: Granger causality analysis on OECD countries with a panel data approach," Economic Modelling, Elsevier, vol. 23(6), pages 978-992, December.
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