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DOI:10.1093/ajae/aaz024 - Corpus ID: 203235735
@article{Hachula2020EstimatingTI, title={Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility}, author={Michael Hachula and Malte Rieth}, journal={American Journal of Agricultural Economics}, year={2020}, url={https://api.semanticscholar.org/CorpusID:203235735}}- M. Hachula, Malte Rieth
- Published in American Journal of… 1 May 2020
- Economics, Agricultural and Food Sciences
This paper studies the impact of financial investments on agricultural futures prices, using structural vector autoregressions. We identify exogenous variation in net long positions of speculators through heteroskedasticity. We first show that demand shocks of both index investors and noncommercial traders lead to a statistically significant contemporaneous increase in futures prices. We then quantify the economic importance of these shocks. Our findings suggest a negligible contribution of…
8 Citations
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8 Citations
- Algirdas Justinas StaugaitisBernardas Vaznonis
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The prices of cash crops impact the livelihoods of millions of households in developing countries. While the influence of speculators on global commodity prices determined through derivatives…
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Economics, Agricultural and Food Sciences
Journal of the Agricultural and Applied Economics…
We examine the causal effects of supply and demand shocks on the relative prices of beef cuts in the United States using a Structural Vector Autoregression model to disentangle the shocks. Supply and…
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- Zhuo ChenBo YanHan-Gyoun Kang
- 2022
Agricultural and Food Sciences, Economics
Empirical Economics
The frequent price volatility in China’s agricultural futures market has aroused concern about price bubbles in the agricultural futures market. This paper analyzes the characteristics of price…
- 7
- V. DmytriievaYurii Sviatets
- 2021
Agricultural and Food Sciences, Economics
The article presents reconstructed main correlated dynamics that were formed by deterministic impacts in Ukraine agriculture and presented the effectiveness of filter methods applying and results of analysis that can be used in management and forecast of long-term development inUkraine agriculture.
- Jingdong LiZhouying Song
- 2022
Economics, Environmental Science
Foods
The food supply chain operates in a complex and dynamic external environment, and the external uncertainties from natural and socio-economic environment pose great challenges to the development of…
- Renhai HuaQingfu LiuY. TseQin Yu
- 2023
Agricultural and Food Sciences, Economics
Journal of Asian Economics
- 4
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Economics
We develop a simple model of futures arbitrage that implies that if purchases by commodity index funds influence futures prices, then the notional positions of the index investors should help predict…
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Economics, Agricultural and Food Sciences
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Economics
This paper uses a novel dataset of commodity-linked notes (CLNs) to examine the impact of the flows of financial investors on commodity futures prices. Investor flows into and out of CLNs are passed…
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It is argued that informational frictions and the associated speculative activity may induce prices to drift away from “fundamental” values, and may result in price booms and busts.
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Economics, Agricultural and Food Sciences
&NA; Commodity‐equity return co‐movements rose dramatically during the Great Recession. This development took place following what has been dubbed the “financialization” of commodity markets. We…
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Economics
The Journal of Alternative Investments
This article addresses the debate regarding the role of index funds in commodity futures markets. Many have argued that index funds are speculators that are responsible for bubbles in commodity…
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Economics
If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the arbitrageurs who take the other side of the contracts may receive compensation for…
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Economics, Business
We study the joint responses of commodity future prices and positions of various trader groups to changes of the CBOE Volatility Index (VIX) before and after the recent financial crisis. Financial…
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Economics
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Financial investment has become increasingly important on commodity exchanges. This paper distinguishes two types of financial investors and emphasizes differences in their position taking motivation…
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