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Looking for Rational Bubbles in Agricultural Commodity Markets

Luciano Gutierrez ()

No 120377, 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland from European Association of Agricultural Economists

Abstract: In this paper, we use a bootstrap methodology to helps us to compute the finite sample probability distribution of the asymptotic tests recently proposed in Phillips et al. (2009b) and Phillips and Yu (2009c). Simulation shows that the bootstrap methodology works well and allows us to identify explosive processes and collapsing bubbles. We apply the bootstrap procedure to the wheat and rough rice commodity prices. We find some evidence of price exuberance for both prices in the 2007-2008 period.

Keywords: Marketing (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-ecm
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae11:120377

DOI: 10.22004/ag.econ.120377

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