Permanent and transitory price shocks in commodity futures markets and their relation to speculation View Full Text


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Article Info

DATE

2019-04

AUTHORS

Marco Haase, Yvonne Seiler Zimmermann, Heinz Zimmermann

ABSTRACT

This paper takes an innovative look at the relationship between commodity futures prices and speculation. Contrary to other studies, we analyze the effect of speculation on temporary and permanent futures price shocks estimated from a cointegrated system of pairwise short- and long-dated contracts. Where cointegration is found, the long-term equilibrium is determined by the long-dated contract, while the adjustment toward equilibrium is restored by the short-dated contract (except for cotton). Granger causality tests cannot reject the null hypothesis that speculation as measured by Working’s T index has no effect on squared permanent price shocks for 7 out of 9 commodities. Where the null hypothesis is rejected, the relationship exhibits a negative sign, i.e., speculation has a stabilizing effect. More... »

PAGES

1359-1382

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00181-017-1387-2

DOI

http://dx.doi.org/10.1007/s00181-017-1387-2

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1100267932


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