Is the interest rate more important than inventories? The case of agricultural commodities in the context of the financialization process

Esteban Thomasz (), Juan Massot () and Gonzalo Rondinone ()
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Esteban Thomasz: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
Juan Massot: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)
Gonzalo Rondinone: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA)

Lecturas de Economía, 2016, issue 85, 127-153

Abstract: In the context of the “Asian economic miracle”, changes in commodity prices between 2004 and 2014 may have been dominated by the effects of the entry of portfolio investors as major participants in commodity index positions and new financial products. That situation raises the question of whether interest rates have a deeper effect on prices compared to fundamental variables such as commodity inventories. The aim of this paper is therefore to test if the prices of some commodities (soybean and maize) have become more sensitive to interest rate changes compared to the incidence of inventories in the last ten years. Using a vector autorregression, it was found that during the period 2004-2014 there was a stronger relation between interest rates and soybean and maize futures prices than in the years 1990-2003. This empirical evidence has special relevance for some Latin American countries heavily reliant on such commodity exports

Keywords: agricultural commodities; financialization; interest rate; autoregressive vector system (search for similar items in EconPapers)
JEL-codes: C3 G11 Q11 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:lde:journl:y:2016:i:85:p:127-153

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DOI: 10.17533/udea.le.n85a04

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