文章基本信息

标题：Does speculation drive agricultural commodity spot prices?
本地全文：下载
作者：Stefan AMANN ; Georg V. LEHECKA ; Erwin SCHMID 等
期刊名称：Jahrbuch der Österreichischen Gesellschaft für Agrarökonomie
印刷版ISSN：1815-1027
出版年度：2013
卷号：22
期号：1
出版社：Facultas
摘要：There are w idespread beliefs that speculation with agricultural commodities on the futures market has led to rising agricultural commodity spot prices. We empirically analyse the causal relationships between spot prices of maize, wheat, rice, and soybean and agricultural commodity futures trading activities. Theoretical linkages are discussed and relationships between spot prices and financial variables are tested for Granger-causality. Hardly any empirical evidence for causal relationships have been found between changes in "volume traded" and "open positions" of futures contracts and changes in spot prices. The lack of empirical findings casts considerable doubt on the belief that speculation is a major driver of rising agricultural commodity prices
关键词：Agricultural commodities; futures markets; hedging; ;speculation; Granger-causality test