Registro completo |
Provedor de dados: |
AgEcon
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País: |
United States
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Título: |
Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality
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Autores: |
Grosche, Stephanie
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Data: |
2012-02-07
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Ano: |
2012
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Palavras-chave: |
Granger Causality
Commodity speculation
Financialization of commodity markets
Agricultural commodity markets
Agricultural and Food Policy
Demand and Price Analysis
Financial Economics
C18
Q13
Q02
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Resumo: |
Modern agricultural commodity markets are simultaneously governed by a physical and a financial market element. Whether financial “index trading” activity influences price levels on the futures markets has been investigated by empirical studies using Granger Causality Analysis. A critical review of these studies reveals inconclusive results. Based on sensitivities of the method, reasons for limited interpretability of results may be omitted determinants of financial trading activity, failure to consider the informational efficiency of markets, time-varying and feedback effects of boundedly rational heterogeneous trading strategies and limitations in specifying adequate theoretical variables from existing data.
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Tipo: |
Working Paper
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Idioma: |
Inglês
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Identificador: |
http://purl.umn.edu/121868
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Relação: |
University of Bonn>Institute for Food and Resource Economics>Discussion Papers
Agricultural and Resource Economics, Discussion Paper
2012:1
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Formato: |
26
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