Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility

Autor:	Michael Hachula, Malte Rieth
Rok vydání:	2019
Předmět:	Finance Economics and Econometrics Agricultural commodity business.industry Demand shock Agriculture Economics Financialization Volatility (finance) Speculation business Agricultural and Biological Sciences (miscellaneous) Futures contract
Zdroj:	American Journal of Agricultural Economics. 102:759-785
ISSN:	1467-8276 0002-9092
DOI:	10.1093/ajae/aaz024
Popis:	This paper studies the impact of financial investments on agricultural futures prices, using structural vector autoregressions. We identify exogenous variation in net long positions of speculators through heteroskedasticity. We first show that demand shocks of both index investors and noncommercial traders lead to a statistically significant contemporaneous increase in futures prices. We then quantify the economic importance of these shocks. Our findings suggest a negligible contribution of index investors’ demand shocks and only a small contribution of noncommercials’ demand shocks to futures price dynamics, both on average and during the boom‐busts in 2007/08 and 2011/12.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ae3c14006d343133d588425d2d8e1d35 https://doi.org/10.1093/ajae/aaz024 Zobrazit plný text záznamu