Year: 2013
Author: Bohl, Martin T., Javed, Farrukh, Stephan, Patrick M.
Applied Economics Quarterly, Vol. 59 (2013), Iss. 2 : pp. 125–148
Abstract
Motivated by repeated price spikes and crashes over the last decade, we investigate whether the intensive investment activities of commodity index traders (CITs) have destabilized agricultural futures markets. Using a stochastic volatility model, we treat conditional volatility as an unobserved component, and analyze whether it has been affected by the expected and unexpected open interest of CITs. However, with respect to twelve increasingly financialized grain, livestock, and soft commodities, we do not find robust evidence that this is the case. We thus conclude that justifying a tighter regulation of CITs by blaming them for more volatile agricultural futures markets appears to be unwarranted.
JEL Classification: G10, G18, Q14
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/aeq.59.2.125
Applied Economics Quarterly, Vol. 59 (2013), Iss. 2 : pp. 125–148
Published online: 2013-06
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
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