Agricultural commodity futures price volatility: A market regulatory policy study.

摘要

Agricultural commodity futures markets experienced dramatic price swings between 2007 and 2012. This high level of market volatility had not been seen since the early 1970's and the Great Depression. Applied economic research has not reached a consensus as to whether market economics, increased speculative participation, or regulatory policy shifts have been the primary cause of the increased volatility. Policy research has concentrated on the legislative intent of the law and how financial and commodity market regulation should revert back to the successful, though not always enforced, policies prior to the Commodity Futures Act of 2000. The Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 has been an attempt to re-tighten legislation, but challenges to the Dodd-Frank Act, and its implementation, have prevented a complete return to more constrained market regulatory policies. Policy scholars credit financial and commodity market turmoil to changes in regulatory policy, but no specific research has been identified that associates changes in market volatility with changes in regulatory policy. This dissertation addresses the following research question: why has agricultural commodity futures price volatility changed over time? Applying quantitative analysis methods of descriptive statistics and econometric modeling, alongside qualitative policy research and applied theory, this research examines the price volatility of four agricultural commodity futures markets and how their price volatility relates to economic fundamentals, speculative participation, and regulatory policy shifts over the past forty-three years. The findings indicate that market economics and speculative participation variables, in conjunction with changes in commodity futures market regulation, are all factors that led to a significant increase in agricultural commodity futures market volatility that took place during the period from 2007 to 2012.