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Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality AgEcon
Grosche, Stephanie.
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.
Tipo: Working Paper 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.
Ano: 2012 URL: http://purl.umn.edu/121868
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Shocks in economic growth = shocking effects on agricultural markets? AgEcon
Kavallari, Aikaterini; Fellmann, Thomas; Gay, Stephan Hubertus.
Projections on the development of agricultural commodity markets underlie a given set of assumptions on economic growth. However, recent economic and financial crisis, as well as signs of quicker recovery in emerging economies, increase uncertainty in the forecasts of macroeconomic developments. This paper analyses the effects of different economic growth scenarios on agricultural commodity markets. In particular we assess the potential impacts of a faster economic growth in emerging economies on the one hand and of a replication of the recent economic downturn on the other hand. The empirical analysis uses the AGLINKCOSIMO model and builds upon the recently published European agricultural outlook of the EU Commission. The simulation results demonstrate...
Tipo: Conference Paper or Presentation Palavras-chave: Economic growth; Agricultural commodity markets; AGLINK-COSIMO; International Relations/Trade.
Ano: 2011 URL: http://purl.umn.edu/114766
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