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| Gohin, Alexandre; Cordier, Jean. |
| The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysis focuses on the increasing participation of index funds in agricultural commodity futures markets before the food price spike. Our central theme is to determine if their prespike massive entry does prepare the subsequent crisis by maintaining low stock levels. We develop a theoretical model explaining the behaviour of speculators and traders on futures and cash markets. We allow index funds to inflict an informational externality on commercial traders that is supposed to induce a lower desire to hold stock. We find out that, once the production decisions of commercial traders are taken into account into the model, the increased net long position of index... |
| Tipo: Conference Paper or Presentation |
Palavras-chave: Futures markets; Commodity price; Index funds; Stocks; Food Consumption/Nutrition/Food Safety; Risk and Uncertainty. |
| Ano: 2010 |
URL: http://purl.umn.edu/91283 |
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| Capitani,Daniel Henrique Dario; Mattos,Fabio. |
| Abstract: This study explores different procedures to estimate price risk in commodity markets. Focusing on Brazilian agricultural markets, the paper proposes to assess both dispersion and downside risk measures using five different approaches (volatility, coefficient of variation, lower partial moments, value at risk and conditional value at risk). Results suggest that some commodities have large price variability but small downside risk, while other commodities show small price variability and large downside risk. Thus, there is no single answer to the question of which commodity exhibits more price risk, but rather distinct answers depending on how risk is perceived by different individuals. These findings are relevant for agents in the agricultural... |
| Tipo: Info:eu-repo/semantics/article |
Palavras-chave: Commodity price; Risk; Volatility; Downside risk.. |
| Ano: 2017 |
URL: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0103-20032017000300515 |
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