<< N°126-127
| N°126-127 | ||
| Issue Q2-3 2011 | ||
| Index trading and agricultural commodity prices: A panel Granger causality analysis | ||
|
Gunther Capelle-Blancard Dramane Coulibaly |
||
| This 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 in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices. |
Abstract |
|
| Speculation ; Financialization ; Food Crisis ; Soft Commodities ; Index Funds ; Panel Granger Causality ; | Keywords | |
| G10 ; Q10 ; | JEL classification | |
| Order form |