NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Philip Garcia

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

May 2013Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files
with Nicole M. Aulerich, Scott H. Irwin: w19065
The “Masters Hypothesis” is the claim that unprecedented buying pressure from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of financial index investment in agricultural futures markets using non-public data from the Large Trader Reporting System (LTRS) maintained by the U.S. Commodity Futures Trading Commission (CFTC). The LTRS data are superior to publicly-available data because commodity index trader (CIT) positions are available on a daily basis, positions are disaggregated by contract maturity, and positions before 2006 can be reliably estimated. Bivariate Granger causality tests use CIT positions in terms of both the change in aggregate new net flows into index investmen...

Forthcoming: Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files, Nicole M. Aulerich, Scott H. Irwin, Philip Garcia. in The Economics of Food Price Volatility, Chavas, Hummels, and Wright. 2014

Bubbles, Food Prices, and Speculation: Evidence from the CFTC’s Daily Large Trader Data Files
with Nicole M. Aulerich, Scott H. Irwin
in The Economics of Food Price Volatility, Jean-Paul Chavas, David Hummels, and Brian Wright
The “Masters Hypothesis” claims that unprecedented buying pressures from new financial index investors created a massive bubble in agricultural futures prices at various times in recent years. This chapter analyzes the market impact of financial index investment in agricultural futures markets using non-public data from the Large Trader Reporting System (LTRS) maintained by the U.S. Commodity Futures Trading Commission (CFTC). The LTRS data is superior to publicly-available data because commodity index trader (CIT) positions are available on a daily basis, positions are disaggregated by contract maturity, and positions before 2006 can be reliably estimated. The null hypothesis of no impact of aggregate CIT positions on daily returns is rejected in only 3 of the 12 markets. Point estimates ...

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us