How financial investment distorts food prices: evidence from US grain markets

被引：12
|
作者：
van Huellen, Sophie [1 ]
机构：
[1] Univ London, SOAS, Thornhaugh St,Russell Sq, London WC1H 0XG, England
来源：
AGRICULTURAL ECONOMICS | 2018年 / 49卷 / 02期
关键词：
G13; G14; Q14; Q18; Commodity futures; Convergence; Speculation; Grain; COMMODITY-MARKETS; FUTURES MARKETS; HEDGING PRESSURE; INDEX INVESTORS; UNIT-ROOT; VOLATILITY; SPECULATORS; COSTS; TESTS; RISK;
D O I：
10.1111/agec.12406
中图分类号：
F3 [农业经济];
学科分类号：
0202 ; 020205 ; 1203 ;
摘要：
Convergence between commodity futures prices and the underlying physical assets at each contract's expiration date is a pivotal condition for the market's functioning. Between 2005 and 2010, convergence failed for several U.S. grain markets. This article presents a price pressure-augmented commodity storage model that links the scale of nonconvergence to financial investment channeled through indices, which are traded in commodity futures markets. The model is empirically tested, using Markov regime-switching regression analysis. Regression results strongly support the model's predicted link between index investment and the extent of nonconvergence for three grains traded at the Chicago Board of Trade: wheat, corn, and soybeans.
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页码：171 / 181
页数：11
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