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Do Extreme CIT Position Levels Have Market Impacts in Grain Futures Markets?

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  • Li, Jiarui
  • Irwin, Scott H.
  • Etienne, Xiaoli L.

Abstract

The "Masters Hypothesis" argues that the growing buying pressure from commodity index funds since 2000 drove up food and energy prices. A group of studies use linear Granger causality tests to examine the relationship between the speculative pressure and futures prices in agricultural futures markets. Some of them find little evidence to support the Masters Hypothesis, however, some of them find significant statistical links between the two series. We add the results from the quantile Granger causality test and the newly developed quantile dependence measure called cross-quantilogram to the standard linear Granger causality tests. Our findings suggest from 2004 to 2019, both extreme quantiles and the mean frameworks do not provide any supporting evidence for the Masters Hypothesis.

Suggested Citation

Handle: RePEc:ags:nccc21:316411
DOI: 10.22004/ag.econ.316411
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