OECD Food, Agriculture and Fisheries Papers

ISSN: 
1815-6797 (online)
DOI: 
10.1787/18156797
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Selected studies on various food, agriculture and fisheries issues from the OECD Trade and Agriculture Directorate.

NB. No. 1 to No. 58 were released under the previous series title OECD Food, Agriculture and Fisheries Working Papers.

 

The Impact of Index and Swap Funds on Commodity Futures Markets

Preliminary Results You or your institution have access to this content

English
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Author(s):
Scott H. Irwin1, Dwight R. Sanders2
Author Affiliations
  • 1: University of Illinois, United States

  • 2: University of Southern Illinois, United States

01 June 2010
Bibliographic information
No.:
27
Pages:
31
DOI: 
10.1787/5kmd40wl1t5f-en

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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.
Keywords:
speculative bubbles, futures price volatility, index funds and swaps, agricultural futures markets, speculation
 
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