Speculative impacts on grains price volatility

Christopher L. Gilbert

No 122540, 123rd Seminar, February 23-24, 2012, Dublin, Ireland from European Association of Agricultural Economists

Abstract: The paper examines the impact of changes in the positions of financial actors on the volatilities of Chicago grains and vegetable oil prices using a GARCH-X framework within which a variant of Granger-causality tests can be performed. The paper analyses both the position data in the post-2006 CFTC Commitments of Traders reports and the data on index provider positions in the Supplemental reports. A test of the Masters hypothesis that index trading increase volatility fails to find support.

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 27
Date: 2012-02-23
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaa123:122540

DOI: 10.22004/ag.econ.122540

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