Commodity Market and Financial Derivative Instruments: Is There a Cointegration

M. Leone, A. Manelli, Roberta Pace
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引用次数: 1

Abstract

Over the past decade, agricultural commodity prices underwent wild swings. Periods of high growth in 2008 were followed by periods of sudden decrease in 2009. The excessive increase in food price volatility is a subject of great interest because it has to do with the survival of mankind. Recent academic studies and policy makers have reached sharply different conclusions about the dynamics of such fluctuations. Also, some of them have indicated the main cause in speculative transactions and in the little regulation of futures markets. This paper intends to verify if there exists a co-implication between wheat futures price and some financial “speculative” variables. The results of cointegration analysis show that there is no evidence that financial derivative instruments determine the fluctuations of wheat futures price.
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商品市场与金融衍生工具:是否存在协整
在过去十年中,农产品价格剧烈波动。2008年的高增长期之后是2009年的突然下降期。粮食价格波动的过度增加引起了人们的极大兴趣,因为它关系到人类的生存。最近的学术研究和政策制定者对这种波动的动态得出了截然不同的结论。此外,他们中的一些人指出了投机交易和期货市场监管不力的主要原因。本文旨在验证小麦期货价格与一些金融“投机”变量之间是否存在共同含义。协整分析结果表明,没有证据表明金融衍生工具决定了小麦期货价格的波动。
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