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Registros recuperados: 4
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A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence AgEcon
Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P..
Recent accusations against speculators in general and long-only commodity index funds in particular, include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in commodity inflation. Some researchers have argued that these market participants—through their impact on market prices—may inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result—if substantiated— would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the agricultural and food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index...
Tipo: Conference Paper or Presentation Palavras-chave: Commitment’s of Traders; Index funds; Commodity futures markets; Agribusiness; Agricultural Finance; Farm Management; Financial Economics; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53050
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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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The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? AgEcon
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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The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing? AgEcon
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
Registros recuperados: 4
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