@article{Doroudian:126947,
      recid = {126947},
      author = {Doroudian, Ali and Vercammen, James},
      title = {First and Second Order Impacts of Speculation on Commodity  Price Volatility},
      address = {2012-02},
      number = {1393-2016-117130},
      series = {SPAA working papers},
      pages = {32},
      year = {2012},
      abstract = {This paper contributes to the debate on the link between  speculation and price volatility in two ways. First, a  simple CAPM model is used to derive the demand for  commodity futures contracts by institutional investors, and  this derived demand is then integrated into a simple  rational expectations model of a commodity market with a  demand for hedging by merchants. Second, a GARCH model is  used to measure volatility in the U.S. rice market before  and after the introduction of a futures contract for rice  in 1994. The theoretical and empirical analysis both  demonstrate that speculation results in a first order  decrease in commodity price volatility, but part of this  decrease will be offset by second order pricing distortions  that are caused by institutional speculators.},
      url = {http://ageconsearch.umn.edu/record/126947},
      doi = {https://doi.org/10.22004/ag.econ.126947},
}