Advanced Search
MyIDEAS: Login

Are grain markets in Niger driven by speculation?

Contents:

Author Info

  • Catherine ARAUJO BONJEAN

    ()
    (Centre d'Etudes et de Recherches sur le Développement International)

  • Catherine SIMONET

    ()
    (Centre d'Etudes et de Recherches sur le Développement International)

Registered author(s):

    Abstract

    Over the last two decades, millet prices in Niger have enjoyed periods of spectacular increase during which they seem to go well above their fundamental value. These episodes of price bursts followed by rapid reversals could be attributed to the presence of rational speculative bubbles. Considering millet as a food asset we have developed a pricing model, and tested for the presence of periodically and partially collapsing bubbles for 15 millet markets in Niger. The test strategy consists of estimating the fundamental value of millet and investigating the dynamic properties of price deviations from fundamentals. A battery of unit root tests aimed at controlling for skewness and kurtosis, and for non linearity in the bubble process, is implemented. These tests do not reject the presence of rational bubbles for some of the sample markets, and allow the identification of expanding and collapsing phases in bubble processes. The results show that small markets, located in deficit and remote areas are more prone to speculation than large markets in the main producing and consuming regions.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://publi.cerdi.org/ed/2011/2011.28.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by CERDI in its series Working Papers with number 201128.

    as in new window
    Length: 26
    Date of creation: 2011
    Date of revision:
    Handle: RePEc:cdi:wpaper:1284

    Contact details of provider:
    Postal: 65 Bd. F. Mitterrand, 63000 Clermont-Ferrand
    Phone: (33-4) 73 17 74 00
    Fax: (33-4) 73 17 74 28
    Web page: http://cerdi.org/
    More information through EDIRC

    Related research

    Keywords: periodically collapsing bubbles; M-TAR; Markov switching ADF; Residual Augmented ADF test; Rolling ADF test; millet;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cdi:wpaper:1284. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vincent Mazenod).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.