Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility

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dc.contributor.authorVenegas, María del Rosario
dc.contributor.authorFeregrino, Jorge
dc.contributor.authorEspinosa-Cristia, Juan Felipe
dc.date.accessioned2025-01-07T18:25:18Z
dc.date.available2025-01-07T18:25:18Z
dc.date.issued0024-12
dc.descriptionINDEXACION SCOPUS
dc.description.abstractThis study explores the financialization of agricultural commodities, focusing on how financial derivatives and index funds impact the volatility of agro-food markets. Using a Dynamic Conditional Correlation (DCC) GARCH model, we analyze volatility spillovers among key agricultural commodities, particularly maize, and related financial assets over a sample period from 2007 to 2020. Our analysis includes major financial assets like Exchange-Traded Funds (ETFs), the S&P 500 index, and agribusiness corporations such as ADM and Bunge and the largest corn flour producer, GRUMA. The results indicate that financial speculation, especially via passive investments such as ETFs, has intensified price volatility in commodity futures, leading to a systemic risk increase within the sector. This study provides empirical evidence of increased market integration between the agro-food sector and financial markets, underscoring risks to food security and economic stability. We conclude with recommendations for regulatory actions to mitigate systemic risks posed by the growing financial influence in agricultural markets. © 2024 by the authors.
dc.identifier.citationInternational Journal of Financial StudiesOpen AccessVolume 12, Issue 4, December 2024 Article number 121
dc.identifier.issn2227707-2
dc.identifier.urihttps://repositorio.unab.cl/handle/ria/62925
dc.language.isoen
dc.publisherMultidisciplinary Digital Publishing Institute (MDPI)
dc.subjectagricultural commodities; agro-food sector; commodity futures markets; derivatives markets; financialization; index funds; price volatility; systemic risk
dc.titleFood Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility
dc.typeArtículo
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