The effect of commodity index trading in agricultural futures markets: a Factor-Augmented Vector Autoregressive (FAVAR) approach
Commodity index trading in futures markets is a relatively new investment strategy whose consequences are not fully understood. This paper tests the hypothesis that long-only, passive index trading in agricultural futures markets influences futures prices. Vector Autoregressive (VAR) models are a co...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Cambridge University Press
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| Series: | Agricultural and Resource Economics Review |
| Subjects: | |
| Online Access: | https://www.cambridge.org/core/product/identifier/S1068280524000157/type/journal_article |
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