@article{Algieri:124390,
      recid = {124390},
      author = {Algieri, Bernardina},
      title = {Price Volatility, Speculation and Excessive Speculation in  Commodity Markets: sheep or shepherd behaviour?},
      address = {2012-05},
      number = {1546-2016-132309},
      series = {ZEF- Discussion Papers on Development Policy},
      pages = {37},
      year = {2012},
      abstract = {The present study aims to investigate the dynamics of  primary commodity prices and the role of speculation over  time. In particular the relationship between speculation  and price volatility on the one side, and the linkage  between excessive speculation and price volatility on the  other side, is carefully examined with the scope to  establish whether volatility drives speculation or  speculation drives price volatility, or whether there are  no linkages between the two variables. In order to identify  the presence of any lead-lag relationships, two batteries  of Granger causality tests are carried out for the period  1995-2012. The investigation complements a preliminary  index analysis on speculation and excessive speculation in  the commodity market. Unlike several academic researches  that reject any causal relationship between the two  variables, this study shows that excessive speculation  drives price volatility, and that often bilateral  relationships exist between price
volatility and  speculation. In addition, the lead-lag relationships are  found not for the entire sample period 1995-2012, but when  small sub-periods are taken into account. It turns out, in  fact, that excessive speculation has driven price  volatility for maize, rice, soybeans, and wheat in  particular time frames, but the relationships are not  always overlapping for all the considered commodities.},
      url = {http://ageconsearch.umn.edu/record/124390},
      doi = {https://doi.org/10.22004/ag.econ.124390},
}