Index funds do impact agricultural prices

We use contemporaneous causality tests based on instrumental variables (IV) methods to re-examine causality from Commodity Index Trader positions to agricultural futures prices. A number of recent studies found that no Granger-causal impacts are discernible for agricultural commodity markets. Market microstructure theory suggests that the impact of index-based trading on agricultural futures markets should be contemporaneous and the data should fail to support Granger-causality despite the presence of a contemporaneous causal. IV-based tests for contemporaneous causality provide evidence for impacts in six of the twelve commodities. These are predominantly the less active contracts as measured by open interest.


Issue Date:
2013
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/156220
Total Pages:
2
Series Statement:
Poster
P3




 Record created 2017-04-01, last modified 2017-08-27

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