Testing for bubbles in agriculture commodity markets

Francisco Areal, Kelvin Balcombe and George Rapsomanikis

MPRA Paper from University Library of Munich, Germany

Abstract: A number of tests and dating algorithms have been developed and used to identify rapid increases in prices followed by a collapse, also known as explosive bubbles (Phillips, Wu and Yu, 2011; Phillips, Shi and Yu, 2012; Gilbert, 2009; Gutierrez, forthcoming). Previous analysis on agriculture commodities by Gilbert (2009) and Gutierrez (forthcoming) applied the tests developed by Phillips, Wu and Yu (2011) and focused on four agricultural commodities. In contrast, we apply the more recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips, Shi and Yu, 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 some commodities within food markets.

Keywords: price bubbles; generalized sup augmented Dickey-Fuller test; agricultural commodities (search for similar items in EconPapers)
JEL-codes: C13 Q11 Q13 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/48015/1/MPRA_paper_48015.pdf original version (application/pdf)

Related works:
Journal Article: Testing for bubbles in agriculture commodity markets (2016)
Working Paper: Testing for bubbles in agricultural commodity markets (2014)
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:pra:mprapa:48015

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().