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dc.contributor.author
Haase, Marco
dc.contributor.author
Huss, Matthias
dc.date.accessioned
2020-11-02T10:43:45Z
dc.date.available
2019-01-04T16:08:48Z
dc.date.available
2019-01-07T08:26:23Z
dc.date.available
2019-09-05T06:59:43Z
dc.date.available
2020-11-02T10:43:45Z
dc.date.issued
2018-06
dc.identifier.other
10.1016/j.jcomm.2017.10.001
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/313778
dc.identifier.doi
10.3929/ethz-b-000313778
dc.description.abstract
In response to the unusually high levels of price volatility during the world food price crisis of 2007/2008, US and EU regulators have introduced position limits that aim to protect commodity markets from exposure to excess speculation. Such regulatory initiatives presuppose that excess speculation is indeed responsible for excess volatility. Our results debunk this presupposition and show the opposite effect: speculative activity reduces price volatility, particularly during times of distress. Our findings are based on a cross-section of wheat futures contracts, traded at five different commodity exchanges with various degrees of speculative activity. Volatility is estimated based on a Conditional Autoregressive Range Model (CARR), which is further augmented with exogenous excess-speculation shocks (CARRX). These models capture herding, feedback and noise trading, and a threshold version (TCARRX) identifies regimes in which the anatomy of the volatility process changes according to the level of excess speculation. Our findings support Working’s hypothesis that a certain level of excess speculation is essential for a well-functioning market.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Elsevier BV
en_US
dc.rights.uri
http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject
range based volatility
en_US
dc.subject
wheat futures
en_US
dc.subject
speculation
en_US
dc.title
Guilty speculators? Range-based conditional volatility in a cross-section of wheat futures
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
dc.date.published
2017-10-13
ethz.journal.title
Journal of Commodity Markets
ethz.journal.volume
10
en_US
ethz.pages.start
29
en_US
ethz.pages.end
46
en_US
ethz.size
42 p.
en_US
ethz.version.deposit
acceptedVersion
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C2 - Single Equation Models; Single Variables::C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C2 - Single Equation Models; Single Variables::C24 - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Rates
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G13 - Contingent Pricing; Futures Pricing
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G18 - Government Policy and Regulation
en_US
ethz.code.jel
JEL - JEL::Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics::Q0 - General::Q02 - Commodity Markets
en_US
ethz.code.jel
JEL - JEL::Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics::Q1 - Agriculture::Q11 - Aggregate Supply and Demand Analysis; Prices
en_US
ethz.publication.place
Amsterdam
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03446 - Bernauer, Thomas / Bernauer, Thomas
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02045 - Dep. Geistes-, Sozial- u. Staatswiss. / Dep. of Humanities, Social and Pol.Sc.::03446 - Bernauer, Thomas / Bernauer, Thomas
en_US
ethz.date.deposited
2019-01-04T16:08:50Z
ethz.source
FORM
ethz.eth
no
en_US
ethz.availability
Open access
en_US
ethz.date.embargoend
2020-10-13
ethz.rosetta.installDate
2019-01-07T08:26:45Z
ethz.rosetta.lastUpdated
2021-02-15T19:39:31Z
ethz.rosetta.versionExported
true
ethz.COinS
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