Motivated by repeated price spikes and crashes over the last decade, we investigate whether the intensive investment activities of commodity index traders (CITs) have destabilized agricultural futures markets. Using a stochastic volatility model, we treat conditional volatility as an unobserved component, and analyze whether it has been affected by the expected and unexpected open interest of CITs. However, with respect to twelve increasingly financialized grain, livestock, and soft commodities, we do not find robust evidence that this is the case. We thus conclude that justifying a tighter regulation of CITs by blaming them for more volatile agricultural futures markets appears to be unwarranted. JEL Classification: G10, G18, Q1
Long-only commodity index funds have been blamed by other futures market participants for inflating ...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
Abstract: This paper examines the lead-lag relationship between futures trad-ing activity (volume an...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
Motivated by repeated price spikes and crashes over the last decade, we in-vestigate whether the int...
Over the years, critics have argued that futures market prices have been either too low or too high....
This is a comprehensive study of the growth and impact of agricultural futures market traders. The ...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
The recent global food crisis has caused an increase in agricultural market volatility, raising impo...
The objective of this paper was to test whether investing activity in the futures markets of differe...
The recent global food crisis has caused an increase in agricultural market volatility, raising impo...
Traders in agricultural commodity markets view volatility dif-ferently depending on their objectives...
Following a dramatic surge in financial investment in commodity derivatives markets by institutional...
Long-only commodity index funds have been blamed by other futures market participants for inflating ...
Long-only commodity index funds have been blamed by other futures market participants for inflating ...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
Abstract: This paper examines the lead-lag relationship between futures trad-ing activity (volume an...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the inte...
Motivated by repeated price spikes and crashes over the last decade, we in-vestigate whether the int...
Over the years, critics have argued that futures market prices have been either too low or too high....
This is a comprehensive study of the growth and impact of agricultural futures market traders. The ...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
The recent global food crisis has caused an increase in agricultural market volatility, raising impo...
The objective of this paper was to test whether investing activity in the futures markets of differe...
The recent global food crisis has caused an increase in agricultural market volatility, raising impo...
Traders in agricultural commodity markets view volatility dif-ferently depending on their objectives...
Following a dramatic surge in financial investment in commodity derivatives markets by institutional...
Long-only commodity index funds have been blamed by other futures market participants for inflating ...
Long-only commodity index funds have been blamed by other futures market participants for inflating ...
The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysi...
Abstract: This paper examines the lead-lag relationship between futures trad-ing activity (volume an...