| The present study aims to investigate the dynamics of primary commodity prices and the role of speculation over time. In particular the relationship between speculation and price volatility on the one side, and the linkage between excessive speculation and price volatility on the other side, is carefully examined with the scope to establish whether volatility drives speculation or speculation drives price volatility, or whether there are no linkages between the two variables. In order to identify the presence of any lead-lag relationships, two batteries of Granger causality tests are carried out for the period 1995-2012. The investigation complements a preliminary index analysis on speculation and excessive speculation in the commodity market. Unlike... |
