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Transcript of Financial Speculation and Commodity Prices Professor Dr. Heiner Flassbeck Director Division on...
Financial Speculation and Commodity PricesProfessor Dr. Heiner Flassbeck
DirectorDivision on Globalization and Development Strategies
UNCTADDominican Republic, March 2011
ESTIMATED INDEX TRADER POSITIONS AND ESTIMATED INDEX TRADER POSITIONS AND COMMODITY PRICES, JANUARY 2006–MAY 2009COMMODITY PRICES, JANUARY 2006–MAY 2009
(Index numbers, 2006 = 100)
50
60
70
80
90
100
110
120
130
140
150
160
170
180
190
200
210
220
1 2 3 4 5 6 7 8 9 10 1112 1 2 3 4 5 6 7 8 9 10 11 12 1 2 3 4 5 6 7 8 9 10 1112 1 2 3 4 5
2006 2007 2008 2009
Estimated net long positions of commodity index traders
S&P GSCI non-energy official close index
S&P GSCI energy official close index
Financial Investment in Commodities Strongly Increased
since 2005
Source: BIS, Quarterly Review, December 2010, table 23B. Source: BIS, Quarterly Review, December 2010, table 22A.
Figure 1: Futures and options contracts outstanding on commodity exchanges, contracts, million, Dec 1993 –
September 2010
0
10
20
30
40
50
60
70
Dec.1993 sept-96 Jun.1999 mars-02 Dec.2004 sept-07 Jun.2010
Figure 2: Notional amount of outstanding over-the-counter commodity derivatives, December 1998 – June 2010,
$trillion
0
2
4
6
8
10
12
14
Dec98
Dec99
Dec00
Dec01
Dec02
Dec03
Dec04
Dec05
Dec06
Dec07
Jun08
Dec08
Jun09
Dec09
Jun10
Gold Other precious metals Other commodities
Commodity index traders in agricultural products in the USA
Source: UNCTAD secretariat calculations, based on CFTC.Note: The positions of commodity index traders are estimated based on index trader positionsreported in the CFTC's Commodity Index Trader Supplement.
Commodity index trader positions in agricultural products on commodity exchanges in the United States,January 2006 – February 2011
(Index numbers, January 2006=100)
Figure 3:
100
120
140
160
180
200
03/01/2006 03/01/2007 03/01/2008 03/01/2009 03/01/2010 03/01/2011
Ind
ex (
3 Ja
nu
ary
200
6 =
100
)
30-Day Rolling Correlation between Oil Price and BRL/JPY
From almost no correlationuntil early2000s
Thecorrelationhas increasedsharplywhile the distribution is more concentrated
30-Day Rolling Correlation between DJ UBS Agriculture Total Return Index and
USD/BRL
Same story for agricultural goods
Thecorrelationhas alsoincreasedwhile the distribution is also more concentrated
30-Day Rolling Correlation between DJ UBS Agriculture Total Return Index and
BRL/JPY
Same story for agricultural goods
Thecorrelationhas alsoincreasedover the last years
EVOLUTION OF PRICES IN SELECTED MARKETS AND COUNTRIES, OCTOBER EVOLUTION OF PRICES IN SELECTED MARKETS AND COUNTRIES, OCTOBER 2008–JUNE 20102008–JUNE 2010
(Index numbers, 1 OCTOBER 2010 = 100)Equity markets
0
25
50
75
100
125
150
175
1/10/2008 1/2/2009 1/6/2009 1/10/2009 1/2/2010 1/6/2010
Budapest Stock Exch Index (Hungary)Jakarta Composite Index (Indonesia)FTSE/JSE Africa All Shr (South Africa)Mexico Bolsa Index
Commodity markets
0
25
50
75
100
125
150
175
1/10/2008 1/2/2009 1/6/2009 1/10/2009 1/2/2010 1/6/2010
S&P GSCI Cotton Official Close Index
S&P GSCI Brent Crude Official Close Index
S&P GSCI Copper Official Close Index
National bond marketsa
0
25
50
75
100
125
150
175
1/10/2008 1/2/2009 1/6/2009 1/10/2009 1/2/2010 1/6/2010
Japan New Zealand
United Kingdom United States
Currency markets
0
25
50
75
100
125
150
175
1/10/2008 1/2/2009 1/6/2009 1/10/2009 1/2/2010 1/6/2010
Australian dollar to Japanese yen
New Zealand dollar to Japanese yen
Brazilian real to Japanese yen
DAILY MOVEMENTS OF PRICES AND RETURNS BETWEEN 11/2008 AND 11/2009 DAILY MOVEMENTS OF PRICES AND RETURNS BETWEEN 11/2008 AND 11/2009 IN RELATION TO THE EXCHANGE RATE OF THE BRAZILIAN REAL TO THE JAPANESE YENIN RELATION TO THE EXCHANGE RATE OF THE BRAZILIAN REAL TO THE JAPANESE YEN
R2 = 0.6938
165
175
185
195
205
215
225
0.018 0.02 0.022 0.024 0.026 0.028
Brazilian real to Japanese yen
S&
P G
SC
I N
on
-en
erg
y O
ffic
ial
Clo
se I
nd
ex
R2 = 0.8286
7 000
7 500
8 000
8 500
9 000
9 500
10 000
10 500
11 000
11 500
12 000
0.018 0.02 0.022 0.024 0.026 0.028
Brazilian real to Japanese yen
S&
P C
om
po
site
In
dex
R2 = 0.7907
2.0
2.2
2.4
2.6
2.8
3.0
3.2
3.4
3.6
3.8
4.0
0.018 0.02 0.022 0.024 0.026 0.028
Brazilian real to Japanese yen
Un
ited
Sta
tes
Yie
ld o
n 1
0-ye
ar B
on
d
R2 = 0.8781
300
350
400
450
500
550
600
650
700
0.018 0.02 0.022 0.024 0.026 0.028
Brazilian real to Japanese yen
S&
P G
SC
I B
ren
t C
rud
e O
ffic
ial
Clo
se I
nd
ex
Correlation between day-to-day price movements of currencies of selected countries (in relation to Japanese Yen) and selected equity prices indices,
commodity price indices and CDS spreads, January 2008 - January 2010
R2 = 0.8081
0.2160
0.2360
0.2560
0.2760
0.2960
0.3160
0.3360
0.3560
0.3760
0.3960
4308 5308 6308 7308 8308
Swiss Market Index
Russian Ruble
R2 = 0.898
0.0144
0.0164
0.0184
0.0204
0.0224
0.0244
0.0264
199 299 399 499 599
S&P GSCI CoppOfficial Close Index
Brazilian Real
New Turkish Lira
R2 = 0.8008
0.01
0.01
0.01
0.01
0.01
0.02
0.02
0.02
0.02
2 3 3 4 4
Sweden Yield on a 10-year bond
Australian Dollar
R2 = 0.8062
0.01
0.01
0.01
0.01
0.02
0.02
197 297 397 497 597
Hungary CDS USD Spread 5 Y
Business cycle analysis(1980)
50
60
70
80
90
100
110
120
-24-22-20-18-16-14-12-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48
IP_MIXED
Price index - All groups (in terms of current dollars)
Business cycle analysis(1982)
80
90
100
110
120
130
140
150
160
170
-24
-22
-20
-18
-16
-14
-12
-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48
IP_MIXED
Price index - All groups (in terms of current dollars)
Business cycle analysis(2001)
90,0
100,0
110,0
120,0
130,0
140,0
150,0
160,0
170,0
-24
-22
-20
-18
-16
-14
-12
-10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22 24 26 28 30 32 34 36 38 40 42 44 46 48
IP_MIXED
Price index - All groups (in terms of current dollars)
Business cycle analysis(2009)
80,0
90,0
100,0
110,0
120,0
130,0
140,0
150,0
160,0
170,0
-24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18 20 22
IP_MIXED
Price index - All groups (in terms of current dollars)
Financial announcement effects on the price of oil
Economic announcement effect on WTI futures on January 14th 2011
90.8
91
91.2
91.4
91.6
91.8
92
92.2
92.4
13:3
0:00
13:3
6:00
13:4
2:00
13:4
8:00
13:5
4:00
14:0
0:00
14:0
6:00
14:1
2:00
14:1
8:00
14:2
4:00
14:3
0:00
14:3
6:00
14:4
2:00
14:4
8:00
14:5
4:00
15:0
0:00
15:0
6:00
15:1
2:00
15:1
8:00
15:2
4:00
15:3
0:00
15:3
6:00
15:4
2:00
15:4
8:00
15:5
4:00
16:0
0:00
16:0
6:00
16:1
2:00
16:1
8:00
16:2
4:00
16:3
0:00
16:3
6:00
16:4
2:00
16:4
8:00
16:5
4:00
17:0
0:00
17:0
6:00
17:1
2:00
17:1
8:00
0
100
200
300
400
500
600
700
800
900
1000
WTI VOLUME
WTI LAST_PRICE
US Business Inventories
Consumers expectationsCPI and retail
sales
Financial announcement effects on the price of oil + cocoa
Employment announcement effect (rebased series), 03.12.2010
98.7
99.2
99.7
100.2
100.7
101.2
101.7
13:0
0
13:1
2
13:2
4
13:3
6
13:4
8
14:0
0
14:1
2
14:2
4
14:3
6
14:4
8
15:0
0
15:1
2
15:2
4
15:3
6
15:4
8
16:0
0
16:1
2
16:2
4
16:3
6
16:4
8
17:0
0
0
500
1000
1500
2000
2500
3000
3500
WTI Volume
WTI FuturePriceCocoa FuturePrice
Employment announcement at 14.30 (CET)