ETD

Archivio digitale delle tesi discusse presso l'Università di Pisa

Tesi etd-11042012-150051


Tipo di tesi
Tesi di laurea magistrale
Autore
XILOYANNIS, GIULIO
URN
etd-11042012-150051
Titolo
FOOD COMMODITIES PRICE SHOCKS: Futures Market Failure or Fundamentals?
Dipartimento
ECONOMIA E MANAGEMENT
Corso di studi
FINANZA AZIENDALE E MERCATI FINANZIARI
Relatori
relatore Prof. Della Posta, Pompeo
Parole chiave
  • liquidity
  • Goldman Sachs Commodity Index
  • United Nations
  • Chicago Mercantile Exchange
  • World Bank
  • FAO
  • Commodity Index Funds
  • price transmission mechanisms
  • fads
  • bubbles
  • arbitrage theory
  • normal backwardation
  • convenience yield
  • cost of carry
  • Spot Market
  • Commodities
  • Futures Market
  • hedging
  • food security
Data inizio appello
05/12/2012
Consultabilità
Non consultabile
Data di rilascio
05/12/2052
Riassunto
The dissertation analyzes the recent price shocks in agricultural commodities. We look both at the spot prices as well as at the futures price.
The aim of the work is to try and understand the causes of these price increases by studying the fundamental price drivers of agricultural commodities, price transmission mechanisms between spot and futures prices and the efficiency of the futures market for basic grains&oilseeds.
The conclusion is that the futures market has indeed failed in its price discovery and hedging mechanisms but that such failure does not appear to be imputable to the activity of speculators and hedgers but to the structure of the futures contracts themselves. There also appears to be no evidence of futures prices influencing spot prices in the cash market, on the contrary a fundamental analysis of supply and demand factors finds many drivers that could explain the recent rise in global food prices.
The possibility that Commodity Index Funds may be influencing prices or altering market liquidity is also analyzed. We compare data from the U.S. Commodity Futures Trading Commission on positions held for hedging reasons and positions held by Commodity Index Funds and find, again, no evidence that Index Funds may be reducing market liquidity or influencing prices on the long term.
Finally, recent institutional interventions to try and curb food prices and increase food security are outlined.
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