Mapping algorithms, agricultural futures, and the relationship between commodity investment flows and crude oil futures prices

Lei Yan, Scott H. Irwin and Dwight R. Sanders

Energy Economics, 2018, vol. 72, issue C, 486-504

Abstract: Several studies employ mapping algorithms to infer index positions in WTI crude oil futures from positions in agricultural futures and report an economically large and statistically significant impact of index positions on crude oil futures prices. In this article, we provide direct evidence that the apparent impact of index investment based on mapping algorithms is spurious. Specifically, an idiosyncratic spike in agricultural index positions during 2007–08, coupled with the spike in oil prices, causes the spurious impact of index investment on crude oil futures prices found in these earlier studies.

Keywords: Commodity futures; Crude oil; Index investment; Mapping algorithm (search for similar items in EconPapers)
JEL-codes: D84 G13 Q13 Q41 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:72:y:2018:i:c:p:486-504

DOI: 10.1016/j.eneco.2018.04.005

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