The Impact of Index and Swap Funds on Commodity Futures Markets Preliminary Results
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 s...
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| Format: | eBook |
| Language: | English |
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Paris
OECD Publishing
2010
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| Series: | OECD Food, Agriculture and Fisheries Papers
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| Collection: | OECD Books and Papers - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | 30 p. 21 x 29.7cm |