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Hur påverkar handeln med derivatinstrument priset på den underliggande varan?

Aldvin, Anders LU (2013) NEKK01 20131
Department of Economics
Abstract (Swedish)
The purpose of this paper is to examine the food commodity price spike of 2008 and to what extent financial speculation was a contributing factor. I will try to determine this in two ways, first by a review of the fundamentals factors that is behind supply and demand in the agricultural commodities markets. Second by an empirical study of the correlation and Granger causation of volume of futures contracts traded with wheat as the underling asset and the wheat spot price. To preform this empirical study I will first use a Johansen Cointegration test and then a vector error correction model. My key result is that it is unlikely that the price spike of 2008 was the result of financial speculation.
Please use this url to cite or link to this publication:
author
Aldvin, Anders LU
supervisor
organization
alternative title
En underökning om finansiell spekulation är en starkt bidragande orsak till den abnorma prisökningen på stapelvaror av mat 2006-2008
course
NEKK01 20131
year
type
M2 - Bachelor Degree
subject
keywords
commodity price spike financial speculation
language
Swedish
id
3954809
date added to LUP
2013-07-29 11:35:59
date last changed
2013-07-29 11:35:59
@misc{3954809,
  abstract     = {The purpose of this paper is to examine the food commodity price spike of 2008 and to what extent financial speculation was a contributing factor. I will try to determine this in two ways, first by a review of the fundamentals factors that is behind supply and demand in the agricultural commodities markets. Second by an empirical study of the correlation and Granger causation of volume of futures contracts traded with wheat as the underling asset and the wheat spot price. To preform this empirical study I will first use a Johansen Cointegration test and then a vector error correction model. My key result is that it is unlikely that the price spike of 2008 was the result of financial speculation.},
  author       = {Aldvin, Anders},
  keyword      = {commodity price spike financial speculation},
  language     = {swe},
  note         = {Student Paper},
  title        = {Hur påverkar handeln med derivatinstrument priset på den underliggande varan?},
  year         = {2013},
}