The financialization of food?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Canada Working Paper ; No. 2013-39

Classification and Topics

• Classification: 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
• Subject: International topics ; Recent economic and financial developments

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bruno, Valentina G. ; Buyuksahin, Bahattin ; Robe, Michel A.
• Event: Veröffentlichung
• (who): Bank of Canada
• (where): Ottawa
• (when): 2013

Further information

• DOI: doi:10.34989/swp-2013-39
• Handle: http://hdl.handle.net/10419/95698
• Last update: 10.03.2025, 11:43 AM CET