Speculative bubbles in agricultural prices

Philipp Adämmer and Martin T. Bohl

The Quarterly Review of Economics and Finance, 2015, vol. 55, issue C, 67-76

Abstract: We use the momentum threshold autoregressive (MTAR) approach to test for speculative bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these agricultural commodities, we use real crude oil prices and real exchange rates. Our empirical results support the hypothesis that speculative bubbles are present in wheat prices between 2003 and 2013. For corn and soybeans, however, our empirical results are inconclusive.

Keywords: Agricultural prices; Speculative bubbles; Momentum threshold autoregressive approach (search for similar items in EconPapers)
JEL-codes: G18 Q02 Q18 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:55:y:2015:i:c:p:67-76

DOI: 10.1016/j.qref.2014.06.003

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