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Rising and Volatile Food Prices: Are Index Fund Investors to Blame? 不断上涨和波动的食品价格:指数基金投资者应该受到指责吗?
ERN: Agricultural Commodities (Topic) Pub Date : 2014-01-14 DOI: 10.2139/ssrn.2450397
Marcel Prokopczuk, L. Symeonidis, T. Verlaat
{"title":"Rising and Volatile Food Prices: Are Index Fund Investors to Blame?","authors":"Marcel Prokopczuk, L. Symeonidis, T. Verlaat","doi":"10.2139/ssrn.2450397","DOIUrl":"https://doi.org/10.2139/ssrn.2450397","url":null,"abstract":"The recent sharp increase in the prices of primary food commodities has raised serious concerns of policy makers on the role of index funds in these food markets. In this paper, we employ a dataset on trading positions of index fund investors from the US Commodity Futures Trading Commission (CFTC), and analyze the relationship between index fund activity and food prices and their volatility. We focus on three major and liquid agricultural markets: corn, soybeans and wheat. We find little evidence that the positions of index fund investors can help explain changes in food prices. Instead, causality from food price changes to position changes appears to be much stronger. Furthermore, our findings suggest that index trader positions bear some predictive ability for volatility. This relationship is mainly concentrated on the 2006-2009 period that includes the recent financial crisis. Finally, we find that volatility decreases with the positions of index fund traders.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133994525","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
The Impact of Alternative Input Subsidy Exit Strategies on Malawi's Maize Commodity Market 替代投入补贴退出策略对马拉维玉米商品市场的影响
ERN: Agricultural Commodities (Topic) Pub Date : 2013-07-01 DOI: 10.2139/ssrn.2310033
M. Mapila
{"title":"The Impact of Alternative Input Subsidy Exit Strategies on Malawi's Maize Commodity Market","authors":"M. Mapila","doi":"10.2139/ssrn.2310033","DOIUrl":"https://doi.org/10.2139/ssrn.2310033","url":null,"abstract":"This study has been conducted in order to generate evidence of the visibility of exit from farm input subsidies in an African context. The study simulates the impact of alternative exit strategies from Malawi’s farm input subsidy program on maize markets. The simulation is conducted using a multiequation partial equilibrium model of the national maize market, which is sequentially linked via a price-linkage equation to local rural maize markets. The model accounts for market imperfections prevailing in the country that arise from government price interventions. Findings show that some alternative exit strategies have negative and sustained impacts on maize yields, production, and acreage allocated to maize over the simulation period. Market prices rise steadily as a result of the implementation of different exit strategies. Despite higher maize prices, domestic maize consumption remains fairly stable, with a slow but increasing trend over the simulation period.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129079736","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Evaluation of Usda Interval Forecasts of Corn and Soybean Prices 美国农业部玉米和大豆价格区间预测的评价
ERN: Agricultural Commodities (Topic) Pub Date : 2004-11-01 DOI: 10.1111/j.0002-9092.2004.00648.x
O. Isengildina, S. Irwin, D. Good
{"title":"Evaluation of Usda Interval Forecasts of Corn and Soybean Prices","authors":"O. Isengildina, S. Irwin, D. Good","doi":"10.1111/j.0002-9092.2004.00648.x","DOIUrl":"https://doi.org/10.1111/j.0002-9092.2004.00648.x","url":null,"abstract":"USDA World Agricultural Supply and Demand Estimates (WASDE) price forecasts are published as an interval, but are typically analyzed as point estimates. Thus, all information about uncertainty imbedded in the forecast is ignored. The purpose of this article is to evaluate the accuracy of WASDE corn and soybean price forecasts using methodology suitable for testing judgmental interval forecasts. Accuracy tests suggest that WASDE forecasts are not calibrated at the 95% confidence level for both commodities and generally not calibrated for corn, but calibrated for soybeans, at the implied confidence level elicited from the survey of forecast providers.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124524746","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 34
Essential Econometric Methods of Forecasting Agricultural Commodity Prices 预测农产品价格的基本计量经济学方法
ERN: Agricultural Commodities (Topic) Pub Date : 1900-01-01 DOI: 10.22004/AG.ECON.164834
M. Hamulczuk, Sylwia Grudkowska, S. Gędek, Cezary Klimkowski, S. Stańko
{"title":"Essential Econometric Methods of Forecasting Agricultural Commodity Prices","authors":"M. Hamulczuk, Sylwia Grudkowska, S. Gędek, Cezary Klimkowski, S. Stańko","doi":"10.22004/AG.ECON.164834","DOIUrl":"https://doi.org/10.22004/AG.ECON.164834","url":null,"abstract":"Factors determining agricultural commodity prices. Time series forecasting. X-12-ARIMA and TRAMO/SEATS procedures. Causal forecasting methods. Partial equilibrium models of the agricultural sector.","PeriodicalId":274022,"journal":{"name":"ERN: Agricultural Commodities (Topic)","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125167259","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
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