Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility
通过结构向量自回归模型，利用异方差性识别投机者净多头头寸的外生变化，发现指数投资者和非商业交易者的需求冲击会即时推高期货价格，但经济重要性很小。
This paper studies the impact of financial investments on agricultural futures prices, using structural vector autoregressions. We identify exogenous variation in net long positions of speculators through heteroskedasticity. We first show that demand shocks of both index investors and noncommercial traders lead to a statistically significant contemporaneous increase in futures prices. We then quantify the economic importance of these shocks. Our findings suggest a negligible contribution of index investors’ demand shocks and only a small contribution of noncommercials’ demand shocks to futures price dynamics, both on average and during the boom‐busts in 2007/08 and 2011/12.