文章基本信息

标题：Index funds do impact agricultural prices
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作者：Pfuderer, Simone ; Gilbert, Christopher L.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2013
卷号：SUPPL
出版社：Food Distribution Research Society
摘要：We use contemporaneous causality tests based on instrumental variables (IV) methods to re-examine causality from Commodity Index Trader positions to agricultural futures prices. A number of recent studies found that no Granger-causal impacts are discernible for agricultural commodity markets. Market microstructure theory suggests that the impact of index-based trading on agricultural futures markets should be contemporaneous and the data should fail to support Granger-causality despite the presence of a contemporaneous causal. IV-based tests for contemporaneous causality provide evidence for impacts in six of the twelve commodities. These are predominantly the less active contracts as measured by open interest.
关键词：agricultural commodities;futures prices;index funds;speculation