In search of attention in agricultural commodity markets

摘要

This paper investigates the impact of attention driven behaviour on agricultural commodity prices. We proxy attention driven behaviour using search queries for the commodity names in Google. We apply the ARDL model to estimate the impact of search queries on three internationally traded agricultural commodities - corn, wheat and soybean - using weakly data for the period 2009-2015. The results show that there is causal and permanent relationship between Google search queries and prices of corn and wheat confirming the presence of the attention driven behaviour. However, the estimates do not confirm this relationship for soybean price. (C) 2019 The Authors. Published by Elsevier B.V.