Are grain markets in Niger driven by speculation?
AbstractOver 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.
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Date of creation: 27 Sep 2012
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periodically collapsing bubbles; M-TAR; Markov switching ADF; Residual Augmented ADF test; Rolling ADF test; millet;
Other versions of this item:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- O18 - Economic Development, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy
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