New evidence on the impact of index funds in U.S. grain futures markets.

摘要

Commodity index trader position data are examined for the years prior to the 2007-08 commodity price increase. New data from 2004 to 2005 show that a large increase in commodity index positions occurred in select grain futures markets. However, the increased index participation took place well in advance of the 2007-08 boom in prices. Granger causality tests fail to find any causal link between commodity index activity and grain futures prices. Furthermore, there is little evidence of an index-induced price bubble using long-horizon regressions. copyright 2011 Canadian Agricultural Economics Society.