Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis

Gunther Capelle-Blancard and Dramane Coulibaly

Working Papers from CEPII research center

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. This approach allows to test for causality on each market by accounting for 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: 2011-12
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (29)

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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)
Journal Article: Index trading and agricultural commodity prices: A panel Granger causality analysis (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepidt:2011-28

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