This paper studies the correlation of agricultural prices with stock market dynamics. We discuss the possible role of financial and macroeconomic factors in driving this time-varying relation, with the aim of understanding what caused positive correlation between agricultural commodities and...

This paper relates to internet, noise trading and commodity futures prices. The theoretical framework is the Mixture Distribution Hypothesis (MDH) that posits a joint dependence of return volatility and information. We use two different proxies for the observed component of information flows,...

How much did speculation affect the formation of rice prices during the rapid escalation of prices in world markets late in 2007 and early in 2008, through what mechanisms, what will happen as these influences unwind, and how is the story for rice different from other commodities? To answer...

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...

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...

This paper evaluates how different types of speculation affect the volatility of commodities’ futures prices. We adopt four indexes of speculation: Working’s T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets,...

The close relationship between commodity future and cash prices is critical for the effectiveness of risk management and the functioning of price discovery. However, in recent years, commodity futures prices, across the board, have appeared increasingly detached from prices on physical markets....

The food crisis of 2007-2008 and the resulting urban riots observed in about forty developing countries placed the question of price instability at the very heart of the debate. The paper states that, since the 80s, the prevailing idea is that the best option is to manage risks without...

The food crisis of 2007-2008 and the resulting urban riots observed in about forty developing countries placed the question of price instability at the very heart of the debate. The paper states that, since the 80s, the prevailing idea is that the best option is to manage risks without...

We use store-level data to document the exact process of changing prices and to directly measure menu costs at five multi-store supermarket chains. We show that changing prices in these establishments is a complex process, requiring dozens of steps and a nontrivial amount of resources. The menu...