Are grain markets in Niger driven by speculation?

Catherine Araujo Bonjean () and Catherine Simonet

No 201128, Working Papers from CERDI

Abstract: Over the last two decades, millet prices in Niger have enjoyed periods of spectacular increase during which they seem to go well above their fundamental value. These episodes of price bursts followed by rapid reversals could be attributed to the presence of rational speculative bubbles. Considering millet as a food asset we have developed a pricing model, and tested for the presence of periodically and partially collapsing bubbles for 15 millet markets in Niger. The test strategy consists of estimating the fundamental value of millet and investigating the dynamic properties of price deviations from fundamentals. A battery of unit root tests aimed at controlling for skewness and kurtosis, and for non linearity in the bubble process, is implemented. These tests do not reject the presence of rational bubbles for some of the sample markets, and allow the identification of expanding and collapsing phases in bubble processes. The results show that small markets, located in deficit and remote areas are more prone to speculation than large markets in the main producing and consuming regions.

Keywords: Periodically collapsing bubbles; M-TAR; Markov switching ADF; Residual Augmented ADF test; Rolling ADF test; Millet (search for similar items in EconPapers)
JEL-codes: C22 D40 G14 O18 Q18 (search for similar items in EconPapers)
Pages: 26
Date: 2011
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (3)

Published in Oxford Economic Papers, 2016, pages 714-735
Published in Oxford Economic Papers

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Related works:
Journal Article: Are grain markets in Niger driven by speculation? (2016)
Working Paper: Are grain markets in Niger driven by speculation? (2016)
Working Paper: Are grain markets in Niger driven by speculation? (2012)
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