Speculative impacts on grains price volatility
The paper examines the impact of changes in the positions of financial actors on the volatilities of Chicago grains and vegetable oil prices using a GARCH-X framework within which a variant of Granger-causality tests can be performed. The paper analyses both the position data in the post-2006 CFTC Commitments of Traders reports and the data on index provider positions in the Supplemental reports. A test of the Masters hypothesis that index trading increase volatility fails to find support.
|Date of creation:||23 Feb 2012|
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- Sanders, Dwight R. & Irwin, Scott H. & Merrin, Robert P., 2009.
"A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence,"
2009 Conference, April 20-21, 2009, St. Louis, Missouri
53050, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Dwight R. Sanders & Scott H. Irwin, 2010. "A speculative bubble in commodity futures prices? Cross-sectional evidence," Agricultural Economics, International Association of Agricultural Economists, vol. 41(1), pages 25-32, 01.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Christopher L. Gilbert, 2010. "How to Understand High Food Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 61(2), pages 398-425.
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