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Index trading and agricultural commodity prices: A panel Granger causality analysis

Author

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  • Gunther Capelle-Blancard
  • Dramane Coulibaly
Abstract
This paper investigates the causality between prices and index-based trading activity for twelve grain, livestock, and other soft commodity futures markets. We use panel Granger causality estimations based on SUR systems and Wald tests with market-specific bootstrap critical values in order to take into account the possible contemporaneous dependence across markets. Our results confirm that there is no causality between index-based positions and commodity futures prices.

Suggested Citation

  • Gunther Capelle-Blancard & Dramane Coulibaly, 2011. "Index trading and agricultural commodity prices: A panel Granger causality analysis," International Economics, CEPII research center, issue 126-127, pages 51-71.
    • Handle: RePEc:cii:cepiie:2011-q2-3-126-127-4
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    References listed on IDEAS

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    More about this item

    Keywords

    Speculation; Financialization; Food Crisis; Soft Commodities; Index Funds; Panel Granger Causality;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q10 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - General

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