Are there nonlinear speculative bubbles in commodities prices?

Ehsan Ahmed, J. Barkley Rosser and Jamshed Uppal

Journal of Post Keynesian Economics, 2014, vol. 36, issue 3, 415-438

Abstract: Daily price movements of seventeen commodities are tested for the possible presence of nonlinear speculative bubbles during 1991-2012. A VAR model for logarithmic first differences of each is estimated with one-year Treasury bill rates, U.S. dollar value, a world stock market index, and an overall commodities price index using Hamilton regime switching and Hurst rescaled range tests. Residuals after removing ARCH for all seventeen commodity price series are tested for remaining nonlinearity using the BDS test. These tests fail to reject the presence of bubble-like trends and nonlinearity beyond ARCH for all seventeen commodity series. However, we note that we are unable to overcome the misspecified fundamentals problem, which means we cannot argue that we have definitely found speculative bubbles. At most we can argue that our results indicate that these markets appear to exhibit excess volatility and unexplained trends.

Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.2753/PKE0160-3477360302 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mes:postke:v:36:y:2014:i:3:p:415-438

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MPKE20

DOI: 10.2753/PKE0160-3477360302

Access Statistics for this article

More articles in Journal of Post Keynesian Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().