We develop a structural VAR model to analyze the relationship between financial speculation, agricultural futures prices, and other asset prices. We consider two important types of speculators and test if they affect futures prices and through which channels. Moreover, we study their trading strategies. We find that shocks to net long positions of index investors do not affect futures prices,...
Michael Hachula, Malte Rieth
- 11.09.2015| The 47th Money, Macro and Finance Research Group Annual Conference