In this study we analyse the role of speculation in forging cross-market linkages between agriculture, equity and crude oil over the period 1992-2014. The market interdependence of ten U.S. traded agricultural commodities futures is measured through the spillover index of Diebold and Yilmaz (2009, 2012) and the dynamic conditional correlation framework of Engle (2002). Utilising data from the U.S. Commodity Futures Trading Commission, ve dierent measures of speculation are constructed, which are used to examine the long-run and short-run dynamics between market integration and speculation. To explore time-varying characteristics in this relationship, and as a test for robustness, we perform a sub-sampling analysis for the periods 1992-2006 and 2006-2014. We show that cross-market linkages grew stronger post-2005, particularly in the aftermath of the 2008 global financial crisis. The results of our econometric analysis indicate that any conclusions regarding the role of speculation in this process are highly sensitive both to the choice of market integration measure, as well as to how the extent of speculation is captured. Overall, though, there is little to indicate that speculation has played an important role in creating cross-market linkages. We do provide some evidence of market integration increasing with market size, but other factors, such as inflation and exchange rates, seem to provide better explanations of agriculture-equity-energy price dynamics. In line with previous research, we also find market interdependence to increase with stock market uncertainty, which suggests that the diversification benefits of commodity futures investments are actually reduced when needed the most. Considered together with our findings on the sizes of markets, which are increasingly made up of speculators, it appears at least possible that financialisation has made food markets more vulnerable to disturbances in financial markets.

This thesis argues that the full impact of Agricultural Innovation Systems (AIS) driven research, that works to enhance not only agricultural production and productivity but also market linkages cannot be captured effectively using only microeconomic level studies; but rather requires the use of a combination of micro and macro-level analysis. This is because the innovation systems perspective entails the collaboration of different actors across the entire agricultural value chain. Therefore this study aimed to firstly quantify the degree to which AIS driven research impacts upon the livelihood outcomes of rural smallholder farmers. Second, the study aimed to determine the extent to which a combination of macro-economic and agricultural policy shocks impact upon household incomes in the maize-based farming system in Malawi; given macro-micro linkages as strengthened by AIS research. The first objective was tackled by using quasi-experimentation with propensity score matching to establish a valid counterfactual and single differencing to measure impact. The second objective was achieved by using a combination of quantitative and qualitative statistical and econometric tools to delve into the dynamics of the maize market at different levels and to develop a model that is capable of capturing the maize market dynamics. A multi-equation partial equilibrium model of the national maize market was therefore developed and linked in a top-down unidirectional manner to the local maize economy via a price-linkage equation. A non-behavioural arithmetic micro-accounting approach was adopted to estimate household incomes that were linked to the local economy, through which macroeconomic level maize price changes transmit. The results of the study empirically demonstrate that AIS driven research impacts positively upon the livelihood outcomes of rural households. This is demonstrated with participating households exhibiting statistically significant higher production outcomes (upland crop production, maize harvests, value of assets, and value of livestock); household incomes as well as human capital outcomes in some cropping seasons. In addition participating households also had much higher statistically significant fertilizer use prior to the implementation of the fertilizer subsidy program in the country; and statistically significant higher fertilizer use patterns for the first two cropping seasons following the implementation of the subsidy program. Participating households had greater linkages with the market economy which allowed them to take greater advantage of market incentives but which also made them more vulnerable to policy shocks. This study therefore shows that the analysis of the impacts of the paradigm shift in agricultural research towards an innovation system orientation cannot be contained at the household level, as this would lead to the formulation of inadequate policies that do not take into account the effects of greater market linkages of the rural households. Policy implications are that increasing production and productivity and linking farmers to markets may not in itself be enough for sustained livelihood improvement, as the resultant greater linkages to the market economy may be detrimental to household livelihood outcomes in the face of uncoordinated policies. In order for the paradigm shift in agricultural research towards an innovation systems perspective to be effective in sustaining an entrepreneurial culture in rural societies in Africa, there is need to foster the diversification out of agricultural enterprises for income, while supporting productivity improvements for food security. In addition any interventions should be implemented only after systematic analysis of the potential consequences of the resultant enhanced macro-micro linkages. This would help to ensure that there is no mismatch between policies and livelihood improvement strategies. / Thesis (PhD)--University of Pretoria, 2012. / Agricultural Economics, Extension and Rural Development / unrestricted

La thèse est composée de trois parties. La première présente un certain nombre de mesures de dépendance extrême. Une application sur les actions et les obligations de 49 pays montre que la théorie des valeurs extrêmes multivariées conduit aux résultats différents de ceux issus du coefficient de corrélation, mais relativement proches de ceux obtenus du rho de Spearman conditionnel multivarié. Cette partie évalue aussi le risque de pertes importantes simultanées. La deuxième partie examine les déterminants des co-mouvements extrêmes entre 5 pays core et 49 pays non core. Les mécanismes de transmission des chocs varient de la période moins récente à la période récente, des pays développés aux pays émergents, des chocs normaux aux chocs extrêmes. La troisième partie étudie le rôle de valeur refuge de l’or sur la période 1986-2012. Les gains positifs extrêmes de l'or peuvent être liés aux pertes extrêmes du S&P. Cependant, ce lien n'est pas toujours valable, il évolue dans le temps et serait conditionné par d'autres facteurs. / The thesis consists of three parts. The first part introduces a number of measures of extreme dependency. An application on stock and bond markets of 49 countries shows the multivariate extreme value theory leads to results which are different from those from the correlation coefficient, but relatively close to those obtained from multivariate conditional Spearman's rho. This part also assesses the risk of simultaneous losses. The second part examines the determinants of extreme co-movements between 5 core countries and 49 non-core countries. Transmission mechanisms of shocks vary from less recent to recent period, from developed to emerging markets, from normal to extreme shocks. The third part examines the role of safe haven of gold over the period 1986-2012. Extreme positive gains of gold can be linked to extreme losses of S&P. However, this relationship is not always valid, it evolves over time and could be determined by other factors.