Autori: Sassi, Maria, Werner, Harald A.
Titolo: Attori non commerciali e recente dinamica dei prezzi dei futures del grano = Non-commercial actors and the recent futures prices of wheat
Periodico: Economia & diritto agroalimentare
Anno: 2013 - Volume: 18 - Fascicolo: 3 - Pagina iniziale: 309 - Pagina finale: 330

The paper examines empirically the influence of speculative activity by different typologies of non-commercial actors on futures prices returns for hard red winter wheat. The analysis is based on weekly data ranging from 01/2000 to 04/2012 and conducts different ratios taken from the Commitment of Traders Legacy Report and the Supplemental Commitments of Traders Report as proxies for speculative activity and introducing a methodology that makes a distinction between realized effects of futures and spot prices. The speculative effects are investigated applying Granger causality tests for the whole period as well as for various sub-periods based on a moving window of data. Results provide very week evidence for the influence of speculation on futures price return and dependent from the speculation variables adopted.




SICI: 1970-9498(2013)18:3<309:ANCERD>2.0.ZU;2-N
Testo completo: http://www.fupress.net/index.php/eda/article/download/13861/12904

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