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| Irwin, Scott H.; Sanders, Dwight R.; Merrin, Robert P.. |
| It is commonly asserted that speculative buying by index funds in commodity futures and over–the–counter derivatives markets created a ‘‘bubble’’ in commodity prices, with the result that prices, and crude oil prices, in particular, far exceeded fundamental values at the peak. The purpose of this paper is to show that the bubble argument simply does not withstand close scrutiny. Four main points are explored. First, the arguments of bubble proponents are conceptually flawed and reflect fundamental and basic misunderstandings of how commodity futures markets actually work. Second, a number of facts about the situation in commodity markets are inconsistent with the existence of a substantial bubble in commodity prices. Third, available statistical evidence... |
| Tipo: Journal Article |
Palavras-chave: Commodity; Futures; Index fund; Market; Speculation; Agribusiness; Demand and Price Analysis; Financial Economics; Marketing; Q11; Q13. |
| Ano: 2009 |
URL: http://purl.umn.edu/53083 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets. |
| Tipo: Report |
Palavras-chave: Agricultural futures markets; Commitments of traders; Forecasting; Prices; Agribusiness; Agricultural Finance. |
| Ano: 2009 |
URL: http://purl.umn.edu/54547 |
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| Colino, Evelyn V.; Cabrini, Silvina M.; Aulerich, Nicole M.; Brandenberger, Tracy L.; Merrin, Robert P.; Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes. |
| This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2002, 2003 and 2004 soybean crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program’s set of recommendations throughout the crop year. Loan deficiency payment/marketing loan gain (LDP/MLG) profiles are constructed by plotting the cumulative percentage of the crop on which the LDP/MLG was claimed during the crop year. Marketing profiles provide information to evaluate the style of advisory services in several ways. The percentage of crop priced is a measure of within-crop year price risk. The higher the proportion of a crop priced, the lower the... |
| Tipo: Report |
Palavras-chave: Agricultural Finance. |
| Ano: 2006 |
URL: http://purl.umn.edu/37485 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empirical support or even cursory data analyses. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment’s of Traders report. In this research, we make an initial assessment of the size and activity of index funds in traditional agricultural futures markets. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Speculative... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agricultural Finance. |
| Ano: 2008 |
URL: http://purl.umn.edu/37615 |
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| Colino, Evelyn V.; Cabrini, Silvina M.; Aulerich, Nicole M.; Brandenberger, Tracy L.; Merrin, Robert P.; Shi, Wei; Irwin, Scott H.; Good, Darrel L.; Martines-Filho, Joao Gomes. |
| This report presents marketing profiles and loan deficiency payment/marketing loan gain profiles for the advisory services followed by the AgMAS Project for the 2002, 2003 and 2004 corn crops. Marketing profiles are constructed by plotting the cumulative net amount priced under each program’s set of recommendations throughout the crop year. Loan deficiency payment/marketing loan gain (LDP/MLG) profiles are constructed by plotting the cumulative percentage of the crop on which the LDP/MLG was claimed during the crop year. Marketing profiles provide information to evaluate the style of advisory services in several ways. The percentage of crop priced is a measure of within-crop year price risk. The higher the proportion of a crop priced, the lower the... |
| Tipo: Report |
Palavras-chave: Agricultural Finance. |
| Ano: 2006 |
URL: http://purl.umn.edu/37484 |
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| Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P.. |
| The objective of this report is to re-visit the “adequacy of speculation” debate in agricultural futures markets. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment of Traders reports. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Traditional speculative measures do not show any material changes or shifts over the sample period. In most markets, the increase in long speculative positions was equaled or surpassed by an increase in short hedging. So, even after adjusting speculative indices for index fund positions, values are within the historical ranges reported in... |
| Tipo: Report |
Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agricultural Finance; Financial Economics. |
| Ano: 2008 |
URL: http://purl.umn.edu/37512 |
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