Quel impact des nouveaux spéculateurs sur les prix agricoles ? Une analyse empirique des fonds d’investissement

The financial development of agricultural markets is not recent. But, starting early 2000, a large amount of investments on commodity markets, including agriculture, have been realized using innovative instruments. And in 2007-08, the continuous increase of investment was simultaneous with prices increases. Speculation and price spikes were soon “correlated”. A controversial debate on the role of commodity investment funds emerge that induced G-20 decision in November 2011 to limit excessive price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets Under Management” (AUM) of these funds and the agricultural futures prices, and second a sequential relationship between these variables through the commitment of commodity funds on related futures markets (open interest detained). As a conclusion, we validate the results of the two parties of the controversy. First, we do observe a significant causality of AUMs variability of commodity funds on price variability, but mainly from commodity index funds as opposed to “single-commodity” funds. That first result should bring implications on regulatory means. Second, we do not observe a significant causality of commodity funds commitments on futures markets. But we think that this absence of causality is mainly due to the low ability of the CFTC classification to inform on the real commitment of traders or/and due to the ability of commodity funds to hedge their price risk on the OTC market as a complement to the futures markets.