<i>Financialization of food</i>. Modelling the time-varying relation between agricultural prices and stock market dynamics

Girardi, Daniele

doi:10.1080/02692171.2015.1016406

Cited by 22 publications

(20 citation statements)

References 21 publications

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“…Moreover, they claim that while the majority of price dynamics change is still assigned to the market fundamentals, almost 17% of the changes can be attributed to the financialisation. Similar conclusions are drawn by Girardi (2015), who claims that the growing correlation of agricultural markets is a consequence of agricultural markets financialisation as well as the outburst of the financial crisis by presenting the evidence of the financial turmoil importance in shaping commodity prices. The second strand of researchers focuses on assessing the negative impact of speculation on the price dynamics on commodity markets.…”

Section: Iiii Detrimental Impact Of Financialisationsupporting

confidence: 77%

Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH

Szafranek

2015

SSRN Journal

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The global economy is highly dependent on commodity prices, which are, by and large, the outcome of market-specific supply and demand fundamentals. As a result, driven by different determinants, financial assets and commodity prices should be negligibly correlated. However, systematically growing engagement of noncommercial investors equipped with financial engineering innovations on commodity markets, generous inflow of capital resulting from the necessity for wider diversification of investment portfolios combined with the strengthening influence of purely financial and speculative motives have led in the 2000's to a much stronger correlation between the financial and commodity markets, sparking a heated debate on the commodity markets financialisation. The empirical analysis presented here supports the claim that since 2005 commodity markets have been under heavier influence of macroeconomic, financial and speculative determinants. However, the process loses on strength since 2011. Results of the Varx Dcc Garch model with leverage effect and multivariate t error distribution demonstrate that the inclusion of the commodity markets' growing sensitivity to macroeconomic conditions, financial markets turmoil and the impact of speculative aspects alters the dynamic conditional correlation path between commodities and the financial markets from 2005 to 2011 signaling the process of financialisation. Additional conclusions are drawn regarding the stability of the market interdependence as well as the parameter estimates.

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Section: Iiii Detrimental Impact Of Financialisationsupporting

confidence: 77%

Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH

Szafranek

2015

SSRN Journal

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“…According to Girardi ( 2015 ), a combination of financialization and financial crisis seems to drive the increasing correlation between agricultural prices and stock market dynamics. It is therefore likely that the influence of financial shocks on agricultural prices will diminish as global financial tensions fade.…”

Section: Evidence Of Financialization On Commodity Marketsmentioning

confidence: 99%

A critique of financial neoliberalism: a perspective combining multidisciplinary methods and commodity markets

Vellucci

2021

SN Bus Econ

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The era of financialization bas been marked by a huge increase in the size of the financial sector. The economic justifications for this expansion arise from the prevailing neo-liberal ideology; they are based on arguments like leading role of markets, economic efficiency, reallocation and spreading of risk. Given these reasons, financialization can be viewed as a form of neoliberalism and then we can use the term financial neoliberalism (Palley in Financialization: the economics of finance capital domination. Springer, 2016) to denote it. This commentary paper hopes to complement this view by highlighting the usefulness of recent “multidisciplinary” methods (i.e., methods which do not fall within the usual economic discipline). We focus first on the definition of financialization process, second on its implications on the commodity markets, and third and finally on the importance of the role of multidisciplinary methods, applied to these markets, capable of highlighting the contradictions of the neoliberalism framework, in such a way, we hope, to promote further research.

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“…A common benchmark is the one-week lag used by Irwin and Sanders (2010) in their OECD study. Some critics have argued that this time lag is too short and fails to pick up causal relationships unfolding over much longer time horizons (Frenk and Staff, 2010;Girardi, 2013;Masters, 2008;Schumann, 2011;Singleton, 2011). For others, the lag is too long and overlooks relationships between CIT positions and price movements evidenced over much shorter time periods, with these short-term connections especially likely in highly liquid markets defined by high levels of trading activity (Gilbert, 2010;Gilbert and Pfuderer, 2014;Mayer, 2012).…”

Section: Time Lags and Causal Relationships ('Putting In Time')mentioning

confidence: 99%

Econometrics as evidence? Examining the ‘causal’ connections between financial speculation and commodities prices

Williams

Cook

2016

Soc Stud Sci

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One of the lasting legacies of the financial crisis of 2008, and the legislative energies that followed from it, is the growing reliance on econometrics as part of the rulemaking process. Financial regulators are increasingly expected to rationalize proposed rules using available econometric techniques, and the courts have vacated several key rules emanating from Dodd-Frank on the grounds of alleged deficiencies in this evidentiary effort. The turn toward such econometric tools is seen as a significant constraint on and challenge to regulators as they endeavor to engage with such essential policy questions as the impact of financial speculation on food security. Yet, outside of the specialized practitioner community, very little is known about these techniques. This article examines one such econometric test, Granger causality, and its role in a pivotal Dodd-Frank rulemaking. Through an examination of the test for Granger causality and its attempts to distill the causal connections between financial speculation and commodities prices, the article argues that econometrics is a blunt but useful tool, limited in its ability to provide decisive insights into commodities markets and yet yielding useful returns for those who are able to wield it.

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Financialization of food. Modelling the time-varying relation between agricultural prices and stock market dynamics

Cited by 22 publications

References 21 publications

Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH

Financialisation of the Commodity Markets. Conclusions from the VARX DCC GARCH

A critique of financial neoliberalism: a perspective combining multidisciplinary methods and commodity markets

Econometrics as evidence? Examining the ‘causal’ connections between financial speculation and commodities prices

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