Empirical Economics

, Volume 56, Issue 4, pp 1359–1382 | Cite as

Permanent and transitory price shocks in commodity futures markets and their relation to speculation

  • Marco Haase
  • Yvonne Seiler Zimmermann
  • Heinz ZimmermannEmail author


This paper takes an innovative look at the relationship between commodity futures prices and speculation. Contrary to other studies, we analyze the effect of speculation on temporary and permanent futures price shocks estimated from a cointegrated system of pairwise short- and long-dated contracts. Where cointegration is found, the long-term equilibrium is determined by the long-dated contract, while the adjustment toward equilibrium is restored by the short-dated contract (except for cotton). Granger causality tests cannot reject the null hypothesis that speculation as measured by Working’s T index has no effect on squared permanent price shocks for 7 out of 9 commodities. Where the null hypothesis is rejected, the relationship exhibits a negative sign, i.e., speculation has a stabilizing effect.


Commodity futures prices Speculation Cointegration Temporary and permanent price shocks 

JEL Classification

C22 G13 Q02 


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  • Marco Haase
    • 1
  • Yvonne Seiler Zimmermann
    • 2
  • Heinz Zimmermann
    • 1
    Email author
  1. 1.Department of Finance, Wirtschaftswissenschaftliches Zentrum (WWZ)University of BaselBaselSwitzerland
  2. 2.Institute of Financial Services Zug (IFZ), School of BusinessLucerne University of Applied Sciences and ArtsZugSwitzerland

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