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Speculative bubbles in agricultural prices

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  • Adämmer, Philipp
  • Bohl, Martin T.

Abstract

We use the momentum threshold autoregressive (MTAR) approach to test for speculative bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these agricultural commodities, we use real crude oil prices and real exchange rates. Our empirical results support the hypothesis that speculative bubbles are present in wheat prices between 2003 and 2013. For corn and soybeans, however, our empirical results are inconclusive.

Suggested Citation

  • Adämmer, Philipp & Bohl, Martin T., 2015. "Speculative bubbles in agricultural prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 67-76.
    • Handle: RePEc:eee:quaeco:v:55:y:2015:i:c:p:67-76
    DOI: 10.1016/j.qref.2014.06.003
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    More about this item

    Keywords

    Agricultural prices; Speculative bubbles; Momentum threshold autoregressive approach;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q18 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Policy; Food Policy; Animal Welfare Policy

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