Index trading and agricultural commodity prices: A panel Granger causality analysis

This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.

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Year of publication:	2011
Authors:	Capelle-Blancard, Gunther ; Coulibaly, Dramane
Published in:	Economie Internationale. - Centre d'études prospectives et d'informations internationales (CEPII). - 2011, 126-127, p. 51-72
Publisher:	Centre d'études prospectives et d'informations internationales (CEPII)
Subject:	Speculation \| Financialization \| Food Crisis \| Soft Commodities \| Index Funds \| Panel Granger Causality

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Extent:	text/html
Type of publication:	Article
Classification:	G10 - General Financial Markets. General ; Q10 - Agriculture. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010602617