Browsing by Person "Iorgulescu, Elissa-Ana-Maria"

Now showing 1 - 1 of 1

Essays on the historical origins of commodity futures markets in the U.S.
(2025) Iorgulescu, Elissa-Ana-Maria; Lehmann-Hasemeyer, Sibylle
This cummulative dissertation explores the function and evolution of U.S. commodity futures markets through the lens of financial history, focusing on the interwar period, a formative era for modern market regulation. Using newly hand-collected data on prices, volumes, and trader positions, it provides empirical insights into speculation, regulation, and inflation expectations. The first paper, "Does Speculation Increase Volatility in Grain Futures Markets?", analyzes corn and wheat futures traded on the Chicago Board of Trade (CBoT) from 1921-1939. It finds that speculation did not cause volatility but rather responded to it. Using OLS and GARCH models, the study shows that speculators shifted from momentum to contrarian strategies across decades and earned a risk premium by absorbing hedging demand, suggesting markets functioned efficiently even in the early 20th century. The second paper, "Does Options Trading Matter for Risk Management?", examines the 1936 U.S. ban on commodity options as a natural experiment. A difference-in-differences design compares grain markets in Chicago (treatment) and London (control). The study finds that the ban temporarily increased volatility and significantly reduced hedging effectiveness, highlighting how options contribute to information flow and market stability, contrary to the rationale behind the regulatory intervention. The third paper, "Commodity Spot-Futures Spreads and Inflation Expectations, 1877-2020", investigates whether spreads can proxy inflation expectations. Using a Markov-switching model on a 150-year dataset, the paper uncovers shifting relationships across monetary regimes: positive before 1922, ambiguous from 1923-1951, and negative after 1952. Cross-validation with text-based expectations confirms regime-dependent market behavior. Together, these papers demonstrate how historical commodity data can inform contemporary debates on speculation, regulation, and macro-financial linkages. By treating past policy shocks as natural experiments and analyzing structural changes in expectation formation, the dissertation underscores the value of financial history in understanding modern commodity market dynamics.