Speculative impacts on grains price volatility

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dc.creatorGilbert, Christopher L.
dc.date2017-04-01T19:35:14Z
dc.date.accessioned2026-07-09T06:00:50Z
dc.descriptionThe paper examines the impact of changes in the positions of financial actors on the volatilities of Chicago grains and vegetable oil prices using a GARCH-X framework within which a variant of Granger-causality tests can be performed. The paper analyses both the position data in the post-2006 CFTC Commitments of Traders reports and the data on index provider positions in the Supplemental reports. A test of the Masters hypothesis that index trading increase volatility fails to find support.
dc.identifierdoi:10.22004/ag.econ.122540
dc.identifierhttps://ageconsearch.umn.edu/record/122540/files/Gilbert.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/122540
dc.identifier.urihttp://hdl.handle.net/123456789/571252
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/122540
dc.titleSpeculative impacts on grains price volatility
dc.typeText

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