CEPII, Recherche et Expertise sur l'economie mondiale
Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis

Gunther Capelle-Blancard
Dramane Coulibaly

 Highlights :

 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

 JEL : G10, Q10
CEPII Working Paper
N°2011-28, December 2011

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 Fields of expertise

Money & Finance