The impact of speculation on commodity prices: A Meta-Granger analysis

Wimmer, Thomas; Geyer‐Klingeberg, Jerome; Hütter, Marie; Schmid, Florian; Rathgeber, Andreas W.

doi:10.1016/j.jcomm.2020.100148

Cited by 13 publications

(19 citation statements)

References 74 publications

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“…First, it provides a yardstick for treating all the variables endogenously (Wang et al, 2020; Benk & Gillman, 2020; Ghysels et al, ; Kin et al, 2020). Second, it helps to decompose the factors into short and long run perspectives, providing information on their dynamic interaction (Mazzarisi et al, 2020; Shao et al, 2020; Wimmer et al, 2020). Third, it provides an avenue to assess the variable's convergence speed to equilibrium and the associated mechanism (Liu et al, 2020; Massa & Rosellón, 2020; Zhao et al, 2020).…”

Section: Methodsmentioning

confidence: 99%

Has knowledge improved economic growth? Evidence from Nigeria and South Africa

Shobande

Asongu

2021

Journal of Public Affairs

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This study examines whether knowledge causes economic growth in Africa's two leading economies: Nigeria and South Africa. Using the Vector Autoregressive and Vector Error Correction approach, the findings show cointegration among the variables. The speed of convergence of the variables to their long-term mean values is relatively higher for South Africa than for Nigeria. In the short run, it is observed that knowledge unidirectionally Granger causes growth for Nigeria, whereas bidirectional causality is observed for South Africa. The higher correlation between knowledge and growth in South Africa reflects the success of greater investment in education. Nigeria must increase investment in education and modern infrastructure to converge to South Africa's growth trajectory. Moreover, for Nigeria, (i) knowledge unidirectionally Granger cause growth, (ii) evidence of bidirectional causality flow is apparent between trade, the economic incentive and growth and (iii) health unidirectionally Granger cause knowledge. As for South Africa: (i) there is bidirectional causality between knowledge, trade openness and growth, whereas investment and economic incentive, unidirectionally Granger causes growth, (ii) investment, trade openness and health unidirectionally Granger cause knowledge and (iii) economic incentive unidirectionally Granger cause trade openness. In conclusion, this paper argues that a transformed education system can provide the knowledge base essential for promoting and sustaining economic growth.

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Section: Methodsmentioning

confidence: 99%

Has knowledge improved economic growth? Evidence from Nigeria and South Africa

Shobande

Asongu

2021

Journal of Public Affairs

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“…The majority of the empirical literature on speculation in the commodity markets discusses the impact of financialisation as well as the role of speculators without considering a specific trader group. As a result, the largest part of the empirical literature also comes to the same conclusion (see Boyd et al, 2018;Fishe & Smith, 2019;Kim, 2015;Manera et al, 2013;Mayer et al, 2017;Often & Wisen, 2013;Wimmer et al, 2021). In the context of the increasing world population, this political and ethical discussion about the world's most essential resources remains vivid and primarily concentrates on index-tracking market players to our surprise.…”

Section: Introductionmentioning

confidence: 93%

“…They clearly conclude that speculators provide liquidity to hedgers while finding no evidence of destabilisation as well as price distortion in commodity markets initiated by speculators. Wimmer et al (2021) analyse more than 50 research articles that study the relationship between commodity prices and speculative behaviour using Granger causality tests. They point out that either speculative behaviour in the agricultural, energy, and metal markets cannot be detected or Granger causality tests are not able to quantify the relationship well enough.…”

Section: Review Of the Literaturementioning

confidence: 99%

Long‐short speculator sentiment in agricultural commodity markets

Borgards

Czudaj

2022

Int. J Fin Econ

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This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short speculators as a proxy for their market sentiment. We find evidence that the sentiment period returns are considerably positive and differ significantly from neutral sentiment periods for all commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price manipulation as the price continues to develop into the direction of the sentiment period although long-short speculators trade non-directionally in the following. We rather indicate the existence of a short-term time-series momentum effect, which can be robustly identified without the requirement to define an external model parameter. From the superior sentiment-based momentum returns, we conclude that long-short speculators have valuable, exclusive information, which cannot be replicated by observing their trading activity with a time lag of eight trading days. We also find that a sentiment-based momentum strategy generates significantly higher returns than the long-short speculators have realized in the fifteen-year sample period which we attribute to the complexity of the long-short speculators' investment strategies.

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“…We maintain that the increased linkages between the financial and oil markets could also influence the trading activity in the oil futures markets. Indicatively, the literature suggests that the more linked the financial and oil markets become, the higher the use of the oil futures market by financial participants (see, e.g., Juvenal & Petrella, 2015; Tang & Xiong, 2012; Wimmer et al, 2021). The increased trading activity in the oil futures markets is expected to exercise an impact on oil prices and hence they could explain oil price differentials, as also suggested by Büyükşahin et al (2013), Filippidis et al (2019), and Geyer‐Klingeberg and Rathgeber (2021).…”

Section: List Of Determinants and Data Descriptionmentioning

confidence: 99%

Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis

Filippidis

Filis

Magkonis

et al. 2023

Journal of Futures Markets

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We investigate the robust determinants of the West Texas Intermediate/Brent oil price differential by employing a time‐varying framework. To achieve this, a dynamic model averaging framework is used, considering monthly data over the period 1994:1–2021:3. Our results suggest that the convenience yield, the global economic activity index, and the government bond yields act as the main factors that exercise a persistent and significant impact, for the largest part of the study period, although at different magnitude. More importantly, though, we show that at different time periods there are additional factors that exercise a significant impact on the oil price differential, such as refining constraints, stock market volatility, trading volume, and geopolitical risk. Thus, unless a dynamic modeling framework is employed, the full spectrum of the related effects cannot be revealed. A series of tests confirm the robustness of our findings. Several policy implications of these results are also discussed.

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The impact of speculation on commodity prices: A Meta-Granger analysis

Cited by 13 publications

References 74 publications

Has knowledge improved economic growth? Evidence from Nigeria and South Africa

Has knowledge improved economic growth? Evidence from Nigeria and South Africa

Long‐short speculator sentiment in agricultural commodity markets

Evaluating robust determinants of the WTI/Brent oil price differential: A dynamic model averaging analysis

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