edoc

Permanent and transitory price shocks in commodity futures markets and their relation to speculation

Haase, Marco and Seiler Zimmermann, Yvonne and Zimmermann, Heinz. (2018) Permanent and transitory price shocks in commodity futures markets and their relation to speculation. Empirical Economics. pp. 1-24.

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Official URL: https://edoc.unibas.ch/59697/

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Abstract

This paper takes an innovative look at the relationship between commodity futures prices and speculation. Contrary to other studies, we analyze the effect of speculation on temporary and permanent futures price shocks estimated from a cointegrated system of pairwise short- and long-dated contracts. Where cointegration is found, the long-term equilibrium is determined by the long-dated contract, while the adjustment toward equilibrium is restored by the short-dated contract (except for cotton). Granger causality tests cannot reject the null hypothesis that speculation as measured by Working’s T index has no effect on squared permanent price shocks for 7 out of 9 commodities. Where the null hypothesis is rejected, the relationship exhibits a negative sign, i.e., speculation has a stabilizing effect.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Seiler Zimmermann, Yvonne and Zimmermann, Heinz and Haase, Marco
Item Type:Article, refereed
Article Subtype:Research Article
Publisher:Springer Nature
ISSN:0377-7332
e-ISSN:1435-8921
Note:Publication type according to Uni Basel Research Database: Journal article
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Last Modified:14 Jun 2018 09:31
Deposited On:14 Jun 2018 09:31

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