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  • 标题:First and Second Order Impacts of Speculation on Commodity Price Volatility
  • 本地全文:下载
  • 作者:Doroudian, Ali ; Vercammen, James
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2012
  • 出版社:Food Distribution Research Society
  • 摘要:This paper contributes to the debate on the link between speculation and price volatility in two ways. First, a simple CAPM model is used to derive the demand for commodity futures contracts by institutional investors, and this derived demand is then integrated into a simple rational expectations model of a commodity market with a demand for hedging by merchants. Second, a GARCH model is used to measure volatility in the U.S. rice market before and after the introduction of a futures contract for rice in 1994. The theoretical and empirical analysis both demonstrate that speculation results in a first order decrease in commodity price volatility, but part of this decrease will be offset by second order pricing distortions that are caused by institutional speculators.
  • 关键词:Commodity Futures;Speculation;Price Volatility;CAPM;Rice
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