Arbeitspapier
The financialization of food?
Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the 'financialization' of commodity markets. We first document changes since 2000 in the intensity of speculative activity in grain and livestock futures. We then use a structural VAR model to establish the role of speculative activity in explaining the strength of co-movements between grain, livestock and equity returns. We find that speculative intensity does not in itself affect the extent to which grain markets move in sync with the stock market. Rather, pre-crisis, financial speculators' futures positions facilitated the transmission of macroeconomic shocks into grain markets. Strikingly, in the post-crisis period, this transmission channel weakened to the point of statistical insignificance. The role of speculative activity is less evident in livestock markets, where only macroeconomic conditions have a statistically significant impact on return co-movements with equities.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2013-39
- Klassifikation
-
Wirtschaft
Agriculture: Aggregate Supply and Demand Analysis; Prices
Agricultural Markets and Marketing; Cooperatives; Agribusiness
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
International topics
Recent economic and financial developments
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bruno, Valentina G.
Buyuksahin, Bahattin
Robe, Michel A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2013
- DOI
-
doi:10.34989/swp-2013-39
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bruno, Valentina G.
- Buyuksahin, Bahattin
- Robe, Michel A.
- Bank of Canada
Entstanden
- 2013
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