This paper takes an innovative look at the relationship between the pricing of commodity futures contracts and its relation to storage and speculation. Fifteen commodities are analyzed over the time period from 1990 to 2010. Contrary to other studies, we analyze temporary and permanent futures...

Granger causality (GC) tests are widely used when it comes to empirically address the dynamic relationship between speculative activities and pricing on commodity markets. However, the sheer number of studies and their heterogeneity makes it extremely difficult – if not impossible – to...

After the failure of international commodity price stabilization programs, the development of commodity futures exchanges has been popularized by economists and international agencies. Based on the experience and the history of commodity trading, the successful development of organized,...

We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates than are otherwise prevalent in the commodity literature....

This paper analyzes daily wheat price volatility over an observation period of more than 140 years, using daily high and low prices of futures contracts traded at the Chicago Board of Trade (CBOT), starting in 1877. We find that volatility differences between the identified regimes is much more...

There are numerous empirical studies on the impact of speculation on commodity futures prices. The papers strongly differ in terms of the focus variable (e.g. price, volatility, spillover effects) of speculative effects, the speculation measure used, and their methodological sophistication and...