Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time Series Analysis of the CFTC Reports for Wheat, Corn and Soybeans

Summary Over the last few years, rising prices and increasing price volatility of major agricultural food commodities were observed. This caused a debate among various organizations about who is responsible for this development. While many Non-Governmental Organizations proclaim that speculations in future markets cause the rise in food prices, academic research provides ambiguous results on this topic. This controversy is the motivation for this study. In order to offer additional insights, the relationship between the price changes of corn, wheat, and soybeans and the corresponding changes in open interests are analyzed. Commitments of Traders as well as Disaggregated Commitments of Traders reports are investigated to determine whether the activities of speculators adversely affect food prices. First, Johansen cointegration tests are employed to analyze the relationship between price and position data. Second, VAR and VECM are used to analyze short- and long-term dynamics. The results of the empirical analysis demonstrate that in the short-run price changes precede changes in open interest. Additionally, soybeans show a long-run equilibrium relationship between both series, indicating that speculators influenced past prices to some extent. However, the percentage price change is rather low. Therefore, sharp rises in soybean prices cannot be explained by it.