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Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

  • Matteo Manera

    (University of Milan-Bicocca, Milan and Fondazione Eni Enrico Mattei, Milan)

  • Marcella Nicolini

    (University of Pavia, Pavia and Fondazione Eni Enrico Mattei, Milan)

  • Ilaria Vignati

    (Fondazione Eni Enrico Mattei, Milan)

This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

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Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2012.23.

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Date of creation: Apr 2012
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Handle: RePEc:fem:femwpa:2012.23
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  19. Trostle, Ronald, 2008. "Factors Contributing to Recent Increases in Food Commodity Prices (PowerPoint)," Seminars 43902, USDA Economists Group.
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