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In search of attention in agricultural commodity markets

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  • Mišečka, Tomáš
  • Ciaian, Pavel
  • Rajčániová, Miroslava
  • Pokrivčák, Jan

Abstract

This paper investigates the impact of attention driven behaviour on agricultural commodity prices. We proxy attention driven behaviour using search queries for the commodity names in Google. We apply the ARDL model to estimate the impact of search queries on three internationally traded agricultural commodities – corn, wheat and soybean – using weakly data for the period 2009–2015. The results show that there is causal and permanent relationship between Google search queries and prices of corn and wheat confirming the presence of the attention driven behaviour. However, the estimates do not confirm this relationship for soybean price.

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  • Mišečka, Tomáš & Ciaian, Pavel & Rajčániová, Miroslava & Pokrivčák, Jan, 2019. "In search of attention in agricultural commodity markets," Economics Letters, Elsevier, vol. 184(C).
    • Handle: RePEc:eee:ecolet:v:184:y:2019:i:c:s0165176519303337
    DOI: 10.1016/j.econlet.2019.108668
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    5. Arunava Bandyopadhyay & Prabina Rajib, 2023. "The impact of Sino–US trade war on price discovery of soybean: A double‐edged sword?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 858-879, July.
    6. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia, 2023. "Do commodity markets catch a cold from stock markets? Modelling uncertainty spillovers using Google search trends and wavelet coherence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    7. Cao, Yan & Cheng, Sheng & Li, Xinran, 2024. "Co-movements between heterogeneous crude oil and food markets: Does temperature change really matter?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    8. Omid Zamani & Thomas Bittmann & Jens‐Peter Loy, 2024. "Does the internet bring food prices closer together? Exploring search engine query data in Iran," Journal of Agricultural Economics, Wiley Blackwell, vol. 75(2), pages 688-715, June.
    9. Hassan, M. Kabir & Hasan, Md. Bokhtiar & Halim, Zairihan Abdul & Maroney, Neal & Rashid, Md. Mamunur, 2022. "Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).

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    More about this item

    Keywords

    Attention driven behaviour; Search queries; Agricultural commodity prices;
    All these keywords.

    JEL classification:

    • Q21 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Demand and Supply; Prices
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • L86 - Industrial Organization - - Industry Studies: Services - - - Information and Internet Services; Computer Software

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