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Do Commodity Index ...
Do Commodity Index Traders Destabilize Agricultural Futures Prices?
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- Bohl, Martin T. (författare)
- Department of Economics, Westphalian Wilhelminian University of Münster, Münster, Germany,Monetary Economics
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- Javed, Farrukh, 1984- (författare)
- Lund University,Lunds universitet,Statistiska institutionen,Ekonomihögskolan,Department of Statistics,Lund University School of Economics and Management, LUSEM
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- Stephan, Patrick M. (författare)
- Department of Economics, Westphalian Wilhelminian University of Münster, Münster, Germany,Economics
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(creator_code:org_t)
- Duncker & Humblot, 2013
- 2013
- Engelska.
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Ingår i: Applied Economics Quarterly. - : Duncker & Humblot. - 1611-6607 .- 1865-5122. ; 59:2, s. 125-148
- Relaterad länk:
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https://urn.kb.se/re...
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https://doi.org/10.3...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Företagsekonomi
- Business Studies
- Statistics
- Statistik
- Commodity Index Traders
- Futures Prices
- Agricultural Markets
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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