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  • 标题:COMMODITY INDEX FUNDS AND PRICE SWINGS: CONDITIONS OF CAUSALITY
  • 本地全文:下载
  • 作者:Gohin, Alexandre ; Cordier, Jean
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2010
  • 卷号:SUPPL
  • 出版社:Food Distribution Research Society
  • 摘要:The role played by “speculators” during the 2007/08 food price spike is lively disputed. Our analysis focuses on the increasing participation of index funds in agricultural commodity futures markets before the food price spike. Our central theme is to determine if their prespike massive entry does prepare the subsequent crisis by maintaining low stock levels. We develop a theoretical model explaining the behaviour of speculators and traders on futures and cash markets. We allow index funds to inflict an informational externality on commercial traders that is supposed to induce a lower desire to hold stock. We find out that, once the production decisions of commercial traders are taken into account into the model, the increased net long position of index funds is inconsistent with lower stocks. We therefore conclude that commodity index funds are not a systematic cause of high market swings and that other relevant causes should be further studied.
  • 关键词:Futures markets;commodity price;index funds;stocks
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