Deconstructing Wheat Price Spikes: A Model of Supply and Demand, Financial Speculation, and Commodity Price Comovement

Economic Research Report No. (ERR-165) 51 pp, April 2014

In 2008, wheat futures prices spiked and then crashed along with prices for other agricultural and non-agricultural commodities. This study uses an econometric model to explain the influence of various factors, incuding passive speculation by large traders, on wheat prices. Findings show that market-specific shocks related to supply and demand for wheat were the dominant cause of price spikes.

Keywords: Commodity prices, comovement, futures, index funds, speculation, wheat

In this publication...

• Report summary,   190 kb | HTML
• Entire report,   3,451 kb
• Download zip file for ERR165,   3,523 kb

Need help with PDFs?

Last updated: Tuesday, April 29, 2014

For more information contact: Joseph Janzen, Colin A. Carter, Aaron Smith, and Michael K. Adjemian