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The Dynamics of Energy-Grain Prices with Open Interest

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Hammoudeh, Shawkat y Sarafrazi, Soodabeh y Chang, Chia-Lin y McAleer, Michael (2011) The Dynamics of Energy-Grain Prices with Open Interest. [ Documentos de Trabajo del Instituto Complutense de Análisis Económicos (ICAE); nº 18, 2011, ] (No publicado)

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URL Oficial: http://eprints.ucm.es/12808/


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Resumen

This paper examines the short- and long-run daily relationships for a grain-energy nexus that includes the prices of corn, crude oil, ethanol, gasoline, soybeans, and sugar, and their open interest. The empirical results demonstrate the presence of these relationships in this nexus, and underscore the importance of ethanol and soybeans in all these relationships. In particular, ethanol and be considered as a catalyst in this nexus because of its significance as a loading factor, a long-run error corrector and a short-run adjuster. Ethanol leads all commodities in the price discovery process in the long run. The negative cross-price open interest effects suggest that there is a money outflow from all commodities in response to increases in open interest positions in the corn futures markets, indicating that active arbitrage activity takes place in those markets. On the other hand, an increase in the soybean open interest contributes to fund inflows in the corn futures market and the other futures markets, leading to more speculative activities in these markets. In connection with open interest, the ethanol market fails because of its thin market. Finally, it is interesting to note that the long-run equilibrium (cointegrating relationship), speeds of adjustment and open interest across markets have strengthened significantly during the 2009-2011 economic recovery period, compared with the full and 2007-2009 Great Recession periods.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Energy-grain price nexus, Open interest, Futures prices, Ethanol, Crude oil, Gasoline, Corn, Soybean, Sugar, Arbitrage, Speculation.
Materias:Ciencias Sociales > Economía > Econometría
Ciencias Sociales > Economía > Indicadores económicos
JEL:E43, Q11, Q13
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económicos (ICAE)
Volumen:2011
Número:18
Código ID:12808
Depositado:02 Jun 2011 14:07
Última Modificación:17 Jun 2016 08:52

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