A1 - Gunther Capelle-Blancard
A1 - Dramane Coulibaly
TI - Index Trading and Agricultural Commodity Prices: A Panel Granger Causality Analysis
IS - 2011-28
T3 - Working Papers
KW - Speculation
KW - financialization
KW - food crisis
KW - soft commodities
KW - index funds
N2 - 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.
ER -