Looking for Rational Bubbles in Agricultural Commodity Markets
AbstractIn 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.
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Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland with number 120377.
Date of creation: 2011
Date of revision:
Rational Speculative Bubbles; Bootstrap; Unit Root Tests; Commodity Prices.; Marketing; G14; Q14; C12; C15;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
This paper has been announced in the following NEP Reports:
- NEP-AGR-2012-02-20 (Agricultural Economics)
- NEP-ALL-2012-02-20 (All new papers)
- NEP-ECM-2012-02-20 (Econometrics)
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