EconPapers    
Economics at your fingertips  
 

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

Gunther Capelle-Blancard and Dramane Coulibaly

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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; financiarisation; crise alimentaire; fonds indiciels; causalité àla Granger en panel (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in International Economics, 2012, 126-127, pp.51-72. ⟨10.1016/S2110-7017(13)60036-0⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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) Downloads
Working Paper: Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis (2011) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00854079

DOI: 10.1016/S2110-7017(13)60036-0

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2025-03-19
Handle: RePEc:hal:cesptp:hal-00854079