Add to ORKGThis 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. This approach allows to test for causality on each market by accounting for the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.Speculation;financialization;food crisis;soft commodities;index funds;panel Granger causality
This paper examines the lead-lag relationship between futures trading activity (volume and open inte...
We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index...
A wide range of commodity prices experienced a large peak in 2007/08, including many agricultural co...
International audienceThis paper investigates the causality between prices and index-based trading a...
We use contemporaneous causality tests based on instrumental variables (IV) methods to re-examine ca...
Modern agricultural commodity markets are simultaneously governed by a physical and a financial mark...
This study examines the dynamic relationship between spot and futures prices of agricultural commodi...
Some research works state that speculation with agricultural commodities on the futures market has r...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
Granger causality (GC) tests are widely used to empirically address the dynamic relationship between...
The objective of this paper was to test whether investing activity in the futures markets of differe...
The purpose of this paper is to assess whether index investment Granger causes grain futures price m...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
We examine the interactions between commodity futures returns and five driving factors (financial sp...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
This paper examines the lead-lag relationship between futures trading activity (volume and open inte...
We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index...
A wide range of commodity prices experienced a large peak in 2007/08, including many agricultural co...
International audienceThis paper investigates the causality between prices and index-based trading a...
We use contemporaneous causality tests based on instrumental variables (IV) methods to re-examine ca...
Modern agricultural commodity markets are simultaneously governed by a physical and a financial mark...
This study examines the dynamic relationship between spot and futures prices of agricultural commodi...
Some research works state that speculation with agricultural commodities on the futures market has r...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
Granger causality (GC) tests are widely used to empirically address the dynamic relationship between...
The objective of this paper was to test whether investing activity in the futures markets of differe...
The purpose of this paper is to assess whether index investment Granger causes grain futures price m...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
We examine the interactions between commodity futures returns and five driving factors (financial sp...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
This paper examines the lead-lag relationship between futures trading activity (volume and open inte...
We use both Granger-causality and instrumental variables (IV) methods to examine the impact of index...
A wide range of commodity prices experienced a large peak in 2007/08, including many agricultural co...