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Do Commodity Index Traders Destabilize Agricultural Futures Prices?
Department of Economics, Westphalian Wilhelminian University of Münster, Münster, Germany. (Monetary Economics)
Department of Statistics, Lund University, Lund, Sweden. (Statistik)ORCID iD: 0000-0002-1488-4703
Department of Economics, Westphalian Wilhelminian University of Münster, Münster, Germany. (Economics)
2013 (English)In: Applied Economics Quarterly, ISSN 1611-6607, Vol. 59, no 2, 125-148 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
Duncker & Humblot, 2013. Vol. 59, no 2, 125-148 p.
National Category
Probability Theory and Statistics Economics
Research subject
Business Studies; Statistics
Identifiers
URN: urn:nbn:se:oru:diva-57940DOI: 10.3790/aeq.59.2.125OAI: oai:DiVA.org:oru-57940DiVA: diva2:1106424
Available from: 2017-06-07 Created: 2017-06-07 Last updated: 2017-06-20Bibliographically approved

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