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Travaux de recherche

  • How Commodity Index Impacts Investments : A Story About The Financialization of Agricultural Commodities", Economic Modelling, August 2019, 80, pp 23-33

Abstract :

This paper focuses on the impact of financial investors on agricultural prices, a phenomenon known as the financialization. In this aim, we check whether financial mechanisms drive extreme values and the mean of agricultural returns in the same way. Relying on the Threshold AutoRegressive Quantile (TQAR) methodology, we find evidence of reinforcement linkages between equity and agricultural markets since 2004, corresponding to the rise in inflows of institutional investors in commodity markets. These results show that agents impact more deeply commodity markets when the commodity index value is high. In addition, in extreme quantiles (0.75 and 0.90) of agricultural returns, the relationship between agricultural and stock returns is always significant when the commodity index return is in the higher regime. This finding suggests that, stock markets had a greater impact on agricultural price dynamics during the extreme movements which occurred during the 2007–2008 financial crisis, highlighting a potential influence of financial markets on the financialization of commodities.

  • The Influence of Financial Activity on The Volatility of Food Prices, December 2017, Mondes En Développement, December 2017, 179(3):45, pp 45-66 (with G. Del Lo)

Abstract :

The intensification of the relationship between financial and agricultural markets seems to be an important determinant of agricultural commodity prices. In order to study this potential phenomenon, a DCC-GARCH model linked with a causality test in variance is used. The results of this article show a causal relationship between the volatility of agricultural products and the financial markets, suggesting a potential implication of the financial markets in the recent rises in agricultural product prices.

Work in progress :

  • An heterogeneous agent model to deal with the financialization of commodities" (job market paper)

Abstract :

This paper brings a new key to understanding one aspect of the financialization of agricultural commodities. It focuses on the impact of index investors’ behavior on agricultural markets characteristics. We use a behavioral financial approach through an Heterogeneous Agent Model (HAM). In this HAM model, agents are assumed to have a bounded rationality. They can switch between chartist and fundamentalist strategies but also trade into two commodity markets. In a first step, we define a benchmark that is the model without institutional investors. This model replicates the features of the commodity markets before 2004. In a second step, we introduce institutional investors to represent the 2004 - present period, corresponding to the rise in inflows of institutional investors in commodity markets. Those investors follow a passive strategy which can impact commodity markets. By comparing this model to the benchmark we capture the effects of index investors’ behavior on commodity markets characteristics. In this model, the volatility of returns is higher in both markets than in the benchmark. Furthermore, in contrast with the benchmark simulation, both prices seem to follow the same evolution. Thus, when two markets are included in a commodity index, they might be linked through the index investors’ behavior channel.


  • The impact of the international commodity volatility on cereal markets of developing countries (with O. Damette)

Abstract :

In this chapter we analyze to what extent the international commodity climate influences commodities and through which channel. Is the financialization of commodities one of these channels ? For this purpose, we use a nonlinear panel methodology, namely the Panel Smooth Transition Regression (PSTR) model. In doing so we study the transmission of returns from international to domestic markets for a panel of developing countries, conditionally to our transition variable, which is S&P GSCI volatility. Applying our empirical methodology to a panel of developing countries over the 2000-2017 period, we find evidence of the influence of financial commodity volatility on the transmission of returns from the international to the national level. We also apply the PSTR estimation with International Monetary Fund (IMF) commodity index volatility as the transition variable, where we find a negative pass-through effect. Thus, not all commodity indices are the same. The main difference between the two indices is that one is an underlying financial product, the S&P GSCI, and the other one is not. By comparing the results of these two regressions, we highlight a potential financialization effect of the transmission of price movements from the international to the national level. In doing so we enhance the literature on both the financialization of commodities and the transmission from international to domestic commodity markets.


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