A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence

Recent accusations against speculators in general and long-only commodity index funds in particular, include: increasing market volatility, distorting historical price relationships, and fueling a rapid increase and decrease in commodity inflation. Some researchers have argued that these market participants—through their impact on market prices—may inadvertently prevented the efficient distribution of food aid to deserving groups. Certainly, this result—if substantiated— would counter the classical argument that speculators make prices more efficient and thus improve the economic efficiency of the agricultural and food marketing system. Given the very important policy implications, it is crucial to develop a more thorough understanding of long-only index funds and their potential market impact. Here, we review the criticisms (and rebuttals) levied against (and for) commodity index funds in recent U.S. Congressional testimonies. Then, additional empirical evidence is added regarding cross-sectional market returns and the relative levels of long-only index fund participation in 12 commodity futures markets. The results suggest that index fund positions across futures markets have no impact on relative price changes across those markets. The empirical results provide no evidence that long-only index funds impact commodity futures prices.Commitment’s of Traders, index funds, commodity futures markets, Agribusiness, Agricultural Finance, Farm Management, Financial Economics, Research Methods/ Statistical Methods, Risk and Uncertainty,

The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?

The objective of this report is to re-visit the “adequacy of speculation” debate in agricultural futures markets. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment of Traders reports. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Traditional speculative measures do not show any material changes or shifts over the sample period. In most markets, the increase in long speculative positions was equaled or surpassed by an increase in short hedging. So, even after adjusting speculative indices for index fund positions, values are within the historical ranges reported in prior research. One implication is that long-only index funds may be beneficial in markets traditionally dominated by short hedging. Attempts to curb speculation through regulatory means should be weighed carefully against the potential benefits provided by this class of speculators.Commitment’s of Traders, index funds, commodity futures markets, Agricultural Finance, Financial Economics,

The Adequacy of Speculation in Agricultural Futures Markets:Too Much of a Good Thing?

Long-only commodity index funds have been blamed by other futures market participants for inflating commodity prices, increasing market volatility, and distorting historical price relationships. Much of this criticism is leveled without any formal empirical support or even cursory data analyses. The Commodity Futures Trading Commission makes available the positions held by index funds and other large traders in their Commitment’s of Traders report. In this research, we make an initial assessment of the size and activity of index funds in traditional agricultural futures markets. The results suggest that after an initial surge from early 2004 through mid-2005, index fund positions have stabilized as a percent of total open interest. Speculative measures—such as Working’s T—suggest that long-only funds may provide a benefit in markets traditionally dominated by short hedging.Commitment’s of Traders, index funds, commodity futures markets, Agricultural Finance,

Smart Money? The Forecasting Ability of CFTC Large Traders

The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders data set is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) market returns. However, there is substantial evidence that traders respond to price changes. In particular, non-commercial traders display a tendency for trend-following. The other trader classifications display mixed styles, perhaps indicating that those trader categories capture a variety of traders. The results generally do not support the use of the Commitment’s of Traders data in predicting market movements.Commitment’s of Traders, futures markets, forecasting, Agricultural Finance, Financial Economics,

Smart Money: The Forecasting Ability of CFTC Large Traders in Agricultural Futures Markets

The forecasting content of the Commodity Futures Trading Commission’s Commitments of Traders (COT) report is investigated. Bivariate Granger causality tests show very little evidence that traders’ positions are useful in forecasting (leading) returns in 10 agricultural futures markets. However, there is substantial evidence that traders respond to price changes. In particular, noncommercial traders display a tendency for trend following. The other trader classifications display mixed styles, perhaps indicating those trader categories capture a variety of traders. The results generally do not support use of the COT data in predicting price movements in agricultural futures markets.agricultural futures markets, commitments of traders, forecasting, prices, Agribusiness, Agricultural Finance,

Hydrologic investigations of the Burge Branch Watershed : for 1960, 1961, 1962 water years

Digitized 2007 AES.Includes bibliographical references (pages 43-44)

New mission requirements methodologies for services provided by the Office of Space Communications

The Office of Space Communications, NASA Headquarters, has recently revised its methodology for receiving, accepting and responding to customer requests for use of that office's tracking and communications capabilities. This revision is the result of a process which has become over-burdened by the size of the currently active and proposed missions set, requirements reviews that focus on single missions rather than on mission sets, and negotiations most often not completed early enough to effect needed additions to capacity or capability prior to launch. The requirements-coverage methodology described is more responsive to project/program needs and provides integrated input into the NASA budget process early enough to effect change, and describes the mechanisms and tools in place to insure a value-added process which will benefit both NASA and its customers. Key features of the requirements methodology include the establishment of a mechanism for early identification of and systems trades with new customers, and delegates the review and approval of requirements documents to NASA centers in lieu of Headquarters, thus empowering the system design teams to establish and negotiate the detailed requirements with the user. A Mission Requirements Request (MRR) is introduced to facilitate early customer interaction. The expected result is that the time to achieve an approved set of implementation requirements which meet the customer's needs can be greatly reduced. Finally, by increasing the discipline in requirements management, through the use of base lining procedures, a tighter coupling between customer requirements and the budget is provided. A twice-yearly projection of customer requirements accommodation, designated as the Capacity Projection Plan (CPP), provides customer feedback allowing the entire mission set to be serviced

Computational Study of Turbulent-Laminar Patterns in Couette Flow

Turbulent-laminar patterns near transition are simulated in plane Couette flow using an extension of the minimal flow unit methodology. Computational domains are of minimal size in two directions but large in the third. The long direction can be tilted at any prescribed angle to the streamwise direction. Three types of patterned states are found and studied: periodic, localized, and intermittent. These correspond closely to observations in large aspect ratio experiments.Comment: 4 pages, 5 figure