文章基本信息

标题：Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality
本地全文：下载
作者：Grosche, Stephanie ; Heckelei, Thomas
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2012
出版社：Journal of Agribusiness
摘要：Modern agricultural commodity markets are simultaneously governed by a physical and a financial market element. Whether financial “index trading” activity influences price levels on the futures markets has been investigated by empirical studies using Granger Causality Analysis. A critical review of these studies reveals inconclusive results. Based on sensitivities of the method, reasons for limited interpretability of results may be omitted determinants of financial trading activity, failure to consider the informational efficiency of markets, time-varying and feedback effects of boundedly rational heterogeneous trading strategies and limitations in specifying adequate theoretical variables from existing data.
关键词：Granger Causality;Commodity speculation;Financialization of commodity markets;Agricultural commodity markets