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COMMODITY INDEX FUNDS AND PRICE SWINGS: CONDITIONS OF CAUSALITY AgEcon
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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On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables AgEcon
Baek, Jungho; Koo, Won W..
This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-run behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.
Tipo: Journal Article Palavras-chave: Autoregressive distributed lag model; Commodity price; Exchange rate; Farm income; Interest rate; Long-run; Short-run; Agribusiness; Consumer/Household Economics; Farm Management; Financial Economics; C22; E23; Q11.
Ano: 2009 URL: http://purl.umn.edu/53097
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