The Impact of Index and Swap Funds on Commodity Futures Markets : Preliminary Results

Scott H. Irwini ; Dwight R. Sandersii iUniversity of IllinoisiiUniversity of Southern Illinois

Organisation for Economic Co-operation and Development

关键词: speculative bubbles;    index funds and swaps;    speculation;    agricultural futures markets;    futures price volatility;   

DOI  :  https://doi.org/10.1787/5kmd40wl1t5f-en

学科分类：社会科学、人文和艺术（综合）

来源: OECD iLibrary

【 摘 要 】

This preliminary study examines the impact of index and swap fund participation in agricultural and energy commodity futures markets. Based on new data and empirical analysis the study finds that index funds did not cause a bubble in agricultural futures prices. Using Granger causality methods the study finds no statistically significant relationship between changes in index and swap fund positions and increased market volatility. The evidence is strongest for agricultural futures markets because the data on index trader positions are measured with reasonable accuracy. The evidence is not as strong in the two energy markets examined here because of considerable uncertainty about the degree to which the available data actually reflect index trader positions in these markets.