ABSTRACT

The impact of speculative activities in financial markets on food-grain prices is a topical but debated issue. We consider four major food-grain commodities and several speculation measures–which represent different underlying definitions of speculation–in structural vector autoregression models to examine this issue empirically. Results show that the impact of speculation depends on the commodity in question (rice and wheat are generally less sensitive than corn and soybean) and the measure of speculation used. Further analysis shows that traders’ behaviour in the futures market is different for wheat and rice, around 80% of which are directly used for human consumption, compared to corn and soybean, only around 15% of which are directly used as human food. We also show that the heterogeneous effect of different speculative measures is mostly due to their construction. Results are robust to various modifications of the models. From a policy perspective, we think a blanket regulation for all the commodities may not be optimal.

摘要

金融市场中投机活动对粮食价格的影响是一个热门话题，但仍存在争议。我们在结构矢量自回归模型中考虑了四种主要的粮食谷物商品和几种投机措施，它们代表了投机的不同基本定义，以实证检验此问题。结果表明，投机的影响取决于所涉及的商品（大米和小麦通常不如玉米和大豆敏感）和所使用的投机手段。进一步的分析表明，小麦和大米在期货市场中的交易者行为有所不同，其中直接用于人类消费的小麦和大米约占80％，而直接将玉米和大豆的15％直接用作人类食品。我们还表明，不同投机手段的异质性效应主要是由于它们的构造。结果对于模型的各种修改都是可靠的。从政策角度来看，我们认为对所有商品进行全面监管可能不是最佳选择。