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PRESENTATION ARCHIVES
  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
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