Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee, and sugar, exhibit time-varying volatility, carry long-range dependence, and portray excessive skewness and kurtosis, though they are covariance stationary. This suggests that the...

Annual rebalancing of the S&P GSCI index provides a novel and strong identification to estimate the shape of supply curves for commodity futures contracts. Using the 24 commodities included in the S&P GSCI for 2004–2017, we show that cumulative abnormal returns (CARs) reach a peak of 59 basis...

Many believe that index fund investment was the main driver of the 2007-2008 spike in commodity futures prices. One group of empirical studies finds evidence that commodity index investment directly or indirectly had a substantial impact on commodity futures prices. However, the data and methods...