Finance and Economics Discussion Series: 2009-29 Screen Reader version ♣
Does Speculation Affect Spot Price Levels?
The Case of Metals with and without Futures Markets
George M. Korniotis
Board of Governors of the Federal Reserve System
Washington DC
| Traded Index | Non-Traded Index | |
|---|---|---|
| 1991 | -20.72 | 2.95 |
| 1992 | -0.73 | -25.23 |
| 1993 | -21.23 | -35.76 |
| 1994 | 17.25 | 27.73 |
| 1995 | 16.63 | 16.96 |
| 1996 | -5.55 | -17.07 |
| 1997 | -1.31 | -12.61 |
| 1998 | -22.07 | -6.03 |
| 1999 | 3.24 | -9.31 |
| 2000 | 9.73 | 23.98 |
| 2001 | -16.18 | 2.37 |
| 2002 | -3.83 | -20.6 |
| 2003 | 15.42 | 7.63 |
| 2004 | 39.22 | 52.16 |
| 2005 | 10.64 | 40.71 |
| 2006 | 45.29 | 19.88 |
| 2007 | 28.52 | 42.81 |
| 2008 | -19.18 | 18.59 |
| Traded Index | Non-Traded Index | |
|---|---|---|
| 2000 Q1 | 14.94 | 52.66 |
| 2000 Q2 | -17.44 | 39.23 |
| 2000 Q3 | 9.73 | 20.02 |
| 2000 Q4 | -17.38 | -10.34 |
| 2001 Q1 | -11.41 | 6.04 |
| 2001 Q2 | -19.16 | 20.91 |
| 2001 Q3 | -46.81 | -15.83 |
| 2001 Q4 | -16.74 | -70.91 |
| 2002 Q1 | 25.54 | -22.43 |
| 2002 Q2 | 7.95 | -5.81 |
| 2002 Q3 | -13.58 | 4.41 |
| 2002 Q4 | 9.59 | -0.8 |
| 2003 Q1 | 27.11 | 11.66 |
| 2003 Q2 | -0.63 | 13.51 |
| 2003 Q3 | 28.09 | 10.33 |
| 2003 Q4 | 64.47 | 29.02 |
| 2004 Q1 | 80.14 | 112.52 |
| 2004 Q2 | 5.18 | 42.78 |
| 2004 Q3 | 14.66 | 34.92 |
| 2004 Q4 | 19.67 | 34.45 |
| 2005 Q1 | 18.48 | 20.41 |
| 2005 Q2 | -0.11 | 78.19 |
| 2005 Q3 | -13.13 | 54.24 |
| 2005 Q4 | 27.7 | 3.71 |
| 2006 Q1 | 74.04 | -12.97 |
| 2006 Q2 | 76.45 | 58.57 |
| 2006 Q3 | 32.3 | -7.99 |
| 2006 Q4 | 56.18 | 35.08 |
| 2007 Q1 | 12.99 | 93.83 |
| 2007 Q2 | 49.61 | 56.95 |
| 2007 Q3 | -15.39 | -18.05 |
| 2007 Q4 | -13.86 | 23.69 |
| 2008 Q1 | 2.03 | 73.57 |
| 2008 Q2 | -4.63 | 35.95 |
| 2008 Q3 | -60.57 | -42.58 |
| 2008 Q4 | -194.92 | -197.38 |
| Rolling Correlation Between Traded and Non-Traded Indices | Average Rolling Correlation Across All Traded and Non-Traded Commodities | |
|---|---|---|
| 2000 | 0.6464 | 0.2714 |
| 2002 | 0.7242 | 0.28 |
| 2003 | 0.6332 | 0.2938 |
| 2004 | 0.7847 | 0.2126 |
| 2005 | 0.7438 | 0.3325 |
| 2006 | 0.6694 | 0.361 |
| 2007 | 0.6954 | 0.3101 |
| 2008 | 0.5681 | 0.3066 |
| World Per Capita GDP Growth | |
|---|---|
| 1991 | -0.023 |
| 1992 | 0.614 |
| 1993 | 0.219 |
| 1994 | 1.837 |
| 1995 | 1.399 |
| 1996 | 1.94 |
| 1997 | 2.294 |
| 1998 | 0.936 |
| 1999 | 1.833 |
| 2000 | 2.813 |
| 2001 | 0.246 |
| 2002 | 0.611 |
| 2003 | 1.407 |
| 2004 | 2.966 |
| 2005 | 2.276 |
| 2006 | 2.75 |
| 2007 | 2.641 |
| 2008 | 1.67 |
| SPGSCI (x 100) | (SPGSCI - FF MKT) (x 100) | Growth in Open Interest Spreading (x 10) | |
|---|---|---|---|
| 1991 | 0.11 | -33.53 | |
| 1992 | 10.99 | 1.93 | |
| 1993 | 1.14 | -10.45 | 21.37 |
| 1994 | -3.21 | -2.45 | -2.32 |
| 1995 | -4.94 | -40.61 | -16.03 |
| 1996 | 2.19 | -18.97 | -14.93 |
| 1997 | 31.27 | 0.94 | -1.55 |
| 1998 | 8.50 | -13.78 | 22.65 |
| 1999 | -30.99 | -56.26 | -18.81 |
| 2000 | -5.45 | 5.64 | -11.44 |
| 2001 | 41.05 | 52.31 | |
| 2002 | 0.54 | 21.38 | |
| 2003 | -9.15 | -42.29 | |
| 2004 | 22.94 | 9.93 | |
| 2005 | 25.68 | 18.35 | |
| 2006 | 18.66 | 2.45 | |
| 2007 | 1.13 | -6.17 | 8.40 |
| 2008 | -4.23 | 34.08 | -17.06 |
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