The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results
This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the s...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2010
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| Schriftenreihe: | OECD Food, Agriculture and Fisheries Papers
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| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets |
| Beschreibung: | 1 Online-Ressource (30 Seiten) 21 x 29.7cm |
| DOI: | 10.1787/5kmd40wl1t5f-en |
Internformat
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| 520 | |a This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets | ||
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Datensatz im Suchindex
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T19:35:04Z |
| indexdate | 2024-12-18T19:04:08Z |
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| language | English |
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| series2 | OECD Food, Agriculture and Fisheries Papers |
| spelling | Irwin, Scott H... Verfasser aut The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results Scott H. Irwin and Dwight R. Sanders Paris OECD Publishing 2010 1 Online-Ressource (30 Seiten) 21 x 29.7cm txt rdacontent c rdamedia cr rdacarrier OECD Food, Agriculture and Fisheries Papers This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets Agriculture and Food Sanders, Dwight R... ctb https://doi.org/10.1787/5kmd40wl1t5f-en Verlag kostenfrei Volltext |
| spellingShingle | Irwin, Scott H.. The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results Agriculture and Food |
| title | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results |
| title_auth | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results |
| title_exact_search | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results |
| title_exact_search_txtP | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results |
| title_full | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results Scott H. Irwin and Dwight R. Sanders |
| title_fullStr | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results Scott H. Irwin and Dwight R. Sanders |
| title_full_unstemmed | The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results Scott H. Irwin and Dwight R. Sanders |
| title_short | The Impact of Index and Swap Funds on Commodity Futures Markets |
| title_sort | the impact of index and swap funds on commodity futures markets preliminary results |
| title_sub | Preliminary Results |
| topic | Agriculture and Food |
| topic_facet | Agriculture and Food |
| url | https://doi.org/10.1787/5kmd40wl1t5f-en |
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