Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement

Joseph P. Janzen , Colin A. Carter , Aaron Smith ,and Michael Adjemian

United States Department of Agriculture

关键词: Commodity prices;    comovement;    futures;    index funds;    speculation;    wheat;   

RP-ID  :  ERR-165

学科分类：农业科学（综合）

美国|英语

来源: United States Department of Agriculture Publications

【 摘 要 】

In 2008, wheat futures prices spiked and then crashed along with prices for other agricultural and non-agricultural commodities. This study uses an econometric model to explain the influence of various factors, including passive speculation by large traders, on wheat prices. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes.