Hur påverkar handeln med derivatinstrument priset på den underliggande varan?
(2013) NEKK01 20131Department 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:
http://lup.lub.lu.se/student-papers/record/3954809
- 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
- 2013
- 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}}, language = {{swe}}, note = {{Student Paper}}, title = {{Hur påverkar handeln med derivatinstrument priset på den underliggande varan?}}, year = {{2013}}, }