This paper studies the impact of financial investments on agricultural futures prices, using structural vector autoregressions. We identify exogenous variation in net long positions of speculators through heteroskedasticity. We first show that demand shocks of both index investors and noncommercial traders lead to a statistically significant contemporaneous increase in futures prices. We then quantify the economic importance of these shocks. Our findings suggest a negligible contribution of index investors’ demand shocks and only a small contribution of noncommercials’ demand shocks to futures price dynamics, both on average and during the boom‐busts in 2007/08 and 2011/12.

中文翻译：

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使用波动率变化估算金融投资对农产品期货价格的影响

本文使用结构向量自回归研究金融投资对农产品期货价格的影响。我们通过异方差性来识别投机者净多头头寸的外生变化。我们首先表明，指数投资者和非商业交易者的需求冲击导致期货价格在统计上显着同时上涨。然后我们量化这些冲击的经济重要性。我们的研究结果表明，指数投资者的需求冲击对期货价格动态的贡献可以忽略不计，而在 2007/08 和 2011/12 的平均和繁荣-萧条期间，非商业需求冲击对期货价格动态的贡献很小。