Index trading and agricultural commodity prices: A panel Granger causality analysis

Gunther Capelle-Blancard and Dramane Coulibaly

International Economics, 2011, issue 126-127, 51–71

Abstract: 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.

Keywords: Speculation; Financialization; Food Crisis; Soft Commodities; Index Funds; Panel Granger Causality (search for similar items in EconPapers)
JEL-codes: G10 Q10 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (31)

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Related works:
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2012)
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2012)
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2011-q2-3-126-127-4

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