Testing for bubbles in agriculture commodity markets

Francisco Areal, Kelvin Balcombe and George Rapsomanikis

Economia Agraria y Recursos Naturales, 2016, vol. 16, issue 01

Abstract: [EN] We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explo-sive bubbles (Phillips et al., 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention. [ES] Aquí aplicamos un test estadístico recientemente desarrollado para la identificación de bur-bujas explosivas, generalized sup augmented Dickey-Fuller (GSADF) test (Phillips et al., 2012) a series temporales mensuales de indicadores de precios de alimentos, bebidas, materias primas agrícolas, cere-ales, productos lácteos, productos cárnicos, aceites y azúcar así como para un total de 28 productos agrí-colas durante el período 1980-2012. Se han encontrado burbujas en los precios para 6 de los 10 índices y para 6 de los 28 productos alimenticios estudiados. Los resultados de estos tests pueden ayudar a llevar a cabo políticas que tengan como objetivo mitigar los efectos de futuras burbujas explosivas en mercados de productos agrícolas identificados como aquellos puedan requerir una atención especial.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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https://ageconsearch.umn.edu/record/241272/files/5350-19816-1-PB%20_1_.pdf (application/pdf)

Related works:
Working Paper: Testing for bubbles in agricultural commodity markets (2014)
Working Paper: Testing for bubbles in agriculture commodity markets (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:earnsa:241272

DOI: 10.22004/ag.econ.241272

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