Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis
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- Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," International Economics, CEPII research center, issue 126-127, pages 51-71.
- Gunther Capelle-Blancard & Dramane Coulibaly, 2012. "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00854079, HAL.
- Gunther Capelle-Blancard & Dramane Coulibaly, 2012. "Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis," Post-Print hal-00854079, HAL.
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Citations
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Cited by:
- Ederer, Stefan & Heumesser, Christine & Staritz, Cornelia, 2013. "The role of fundamentals and financialisation in recent commodity price developments: An empirical analysis for wheat, coffee, cotton, and oil," Working Papers 42, Österreichische Forschungsstiftung für Internationale Entwicklung (ÖFSE) / Austrian Foundation for Development Research.
- Carl GAIGNÉ & Cathie LAROCHE DUPRAZ & Alan MATTHEWS, 2015.
"Thirty years of European research on international trade in food and agricultural products,"
Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement, INRA Department of Economics, vol. 96(1), pages 91-130.
- GAIGNE, Carl & LAROCHE DUPRAZ, Cathie & MATTHEWS, Alan, . "Thirty years of European research on international trade in food and agricultural products," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement (RAEStud), Institut National de la Recherche Agronomique (INRA), vol. 96(1).
- Gaigné, Carl & Laroche Dupraz, Cathie & Matthews, Alan, 2015. "Thirty years of European research on international trade in food and agricultural products," Revue d'Etudes en Agriculture et Environnement, Editions NecPlus, vol. 96(01), pages 91-130, March.
- C. Gaigné & Catherine Laroche-Dupraz & Alan Matthews, 2015. "Thirty years of European research on international trade in food and agricultural products," Post-Print hal-01884928, HAL.
- Creti, Anna & Joëts, Marc & Mignon, Valérie, 2013.
"On the links between stock and commodity markets' volatility,"
Energy Economics, Elsevier, vol. 37(C), pages 16-28.
- Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," EconomiX Working Papers 2012-42, University of Paris Nanterre, EconomiX.
- Anna Creti & Marc Joëts & Valérie Mignon, 2013. "On the links between stock and commodity markets’ volatility," Post-Print hal-01385868, HAL.
- Anna Creti & Marc Joëts & Valérie Mignon, 2012. "On the links between stock and commodity markets' volatility," Working Papers 2012-20, CEPII research center.
- repec:dau:papers:123456789/14980 is not listed on IDEAS
- Boyd, Naomi E. & Harris, Jeffrey H. & Li, Bingxin, 2018. "An update on speculation and financialization in commodity markets," Journal of Commodity Markets, Elsevier, vol. 10(C), pages 91-104.
- Libo Yin & Qingyuan Yang & Zhi Su, 2017. "Predictability of structural co-movement in commodity prices: the role of technical indicators," Quantitative Finance, Taylor & Francis Journals, vol. 17(5), pages 795-812, May.
- Benoît Guilleminot & Jean-Jacques Ohana & Steve Ohana, 2014. "The interaction of speculators and index investors in agricultural derivatives markets," Agricultural Economics, International Association of Agricultural Economists, vol. 45(6), pages 767-792, November.
- Irwin, Scott H., 2012.
"Does the Masters Hypothesis Explain Recent Food Price Spikes?,"
Working Papers
126944, Structure and Performance of Agriculture and Agri-products Industry (SPAA).
- Irwin, Scott H., 2012. "Does the Masters Hypothesis Explain Recent Food Price Spikes?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126877, International Association of Agricultural Economists.
- Gozgor, Giray & Kablamaci, Baris, 2014. "The linkage between oil and agricultural commodity prices in the light of the perceived global risk," MPRA Paper 58659, University Library of Munich, Germany.
- Stefan Ederer & Christine Heumesser & Cornelia Staritz, 2016. "Financialization and commodity prices -- an empirical analysis for coffee, cotton, wheat and oil," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(4), pages 462-487, July.
- Stephan Schulmeister, 2012. "Technical Trading and Commodity Price Fluctuations," WIFO Studies, WIFO, number 45238, December.
- Christopher L. Gilbert, 2018. "Investor sentiment and market fundamentals: the impact of index investment on energy and metals markets," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 31(1), pages 87-102, May.
- Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2014.
"Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files,"
NBER Chapters, in: The Economics of Food Price Volatility, pages 211-253,
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- Nicole M. Aulerich & Scott H. Irwin & Philip Garcia, 2013. "Bubbles, Food Prices, and Speculation: Evidence from the CFTC's Daily Large Trader Data Files," NBER Working Papers 19065, National Bureau of Economic Research, Inc.
- Sanders, Dwight R. & Irwin, Scott H., 2014. "Energy futures prices and commodity index investment: New evidence from firm-level position data," Energy Economics, Elsevier, vol. 46(S1), pages 57-68.
- Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers 2012-26, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
- Khan, Aftab & Masih, Mansur, 2014. "Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets," MPRA Paper 56979, University Library of Munich, Germany.
- Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
- Dwight R. Sanders & Scott H. Irwin, 2016. "The "Necessity" of New Position Limits in Agricultural Futures Markets: The Verdict from Daily Firm-level Position Data," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 38(2), pages 292-317.
- Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
- Go, You-How & Lau, Wee-Yeap, 2017. "Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil," Resources Policy, Elsevier, vol. 53(C), pages 135-146.
- Bohl Martin T., 2016. "Treiben Indexfonds Agrarrohstoffpreise? Nein!," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 17(2), pages 155-171, July.
- Christopher L. Gilbert & Simone Pfuderer, 2014. "The financialization of food commodity markets," Chapters, in: Raghbendra Jha & Raghav Gaiha & Anil B. Deolalikar (ed.), Handbook on Food, chapter 6, pages 122-148, Edward Elgar Publishing.
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More about this item
Keywords
Speculation; financialization; food crisis; soft commodities; index funds; panel Granger causality;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-AGR-2012-01-18 (Agricultural Economics)
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