Journal ArticleDOI
How to Understand High Food Prices
TLDR
In this article, the role of demand growth, monetary expansion and exchange rate movements in explaining price movements over the period since 1971 has been investigated and it was shown that index-based investment in agricultural futures markets is the major channel through which macroeconomic and monetary factors generated the 2007-2008 food price rises.Abstract:
Agricultural price booms are better explained by common factors than by market-specific factors such as supply shocks. A capital asset pricing model-type model shows why one should expect this and Granger causality analysis establishes the role of demand growth, monetary expansion and exchange rate movements in explaining price movements over the period since 1971. The demand for grains and oilseeds as biofuel feedstocks has been cited as the main cause of the price rise, but there is little direct evidence for this contention. Instead, index-based investment in agricultural futures markets is seen as the major channel through which macroeconomic and monetary factors generated the 2007–2008 food price rises.read more
Citations
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Journal ArticleDOI
Index Funds, Financialization, and Commodity Futures Markets
Scott H. Irwin,Dwight R. Sanders +1 more
TL;DR: The lack of a direct empirical link between index fund trading and commodity futures prices casts considerable doubt on the belief that index funds fueled a price bubble as mentioned in this paper. But, the data and methods used in these studies are subject to criticisms that limit the confidence one can place in their results.
Journal ArticleDOI
Food price volatility
TL;DR: Variability over the most recent period has been high but, with the important exception of rice, not out of line with historical experience.
Journal ArticleDOI
The Economics of Grain Price Volatility
TL;DR: In this paper, a review of market events and their economic interpretations finds that recent price spikes are not as unusual as many discussions imply, and that the balance between consumption, available supply, and stocks seems to be as relevant for our understanding of these markets as it was decades ago.
Journal ArticleDOI
Rethinking the global food crisis: The role of trade shocks
TL;DR: This paper revisited the trade story by closely examining monthly data from Thailand and the United States and found that large surges in export volumes preceded the price surges, suggesting that trade events played a much larger and more pervasive role than previously thought.
Journal ArticleDOI
Volatility spillover between oil and agricultural commodity markets
TL;DR: In this article, the authors examined volatility transmission between oil and selected agricultural commodity prices (wheat, corn, soybeans, and sugar) and applied the newly developed causality in variance test and impulse response functions to daily data from 01 January 1986 to 21 March 2011.
References
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Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Book ChapterDOI
The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
TL;DR: In this article, the problem of selecting optimal security portfolios by risk-averse investors who have the alternative of investing in risk-free securities with a positive return or borrowing at the same rate of interest and who can sell short if they wish is discussed.
Journal ArticleDOI
Tests of equality between sets of coefficients in two linear regressions
Book
Essays in Positive Economics
TL;DR: In this paper, Newman's critical blast blows like a north wind against the more pretentious erections of modern economics, however a healthy and invigorating blast, without malice and with a sincere regard for scientific objectivity.
Posted Content
Positive Feedback Investment Strategies and Destabilizing Rational Speculation
TL;DR: In this paper, the role of rational speculators in financial markets was analyzed and it was shown that an increase in the number of forward-looking rational traders can lead to increased volatility of prices about fundamentals.