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Price bubbles in commodity market – A single time series and panel data analysis

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  • Potrykus, Marcin

Abstract

This paper examines thirty-five commodities, grouped into three market sectors (energy, metals, agriculture & livestock) in terms of the occurrence of price bubbles. The study was based on monthly data for each commodity separately and, in a panel approach, for selected sectors and for all commodities combined. The GSADF test and its version for panel data – panel GSADF – were used to identify bubbles. The beginning and end of the detected price bubbles were also determined. No price bubbles were found for commodities such as Bananas, Cocoa or Orange juice, while tin, tobacco and gold were identified as the commodities most prone to bubbles. Also, a distinction was made between those commodities characterized by short and infrequent periods of price bubbles (five commodities) and those characterized by frequent and usually lasting for at least six months periods of bubbles (eighteen commodities). The panel confirmed that the energy and metals sectors are exposed to periods of bubbles more frequently and for longer than the agriculture & livestock sector. For all identified panels, a clear impact of the financial crisis of 2008 and the European debt crisis on the emergence of commodity bubbles was found.

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  • Potrykus, Marcin, 2023. "Price bubbles in commodity market – A single time series and panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 110-117.
    • Handle: RePEc:eee:quaeco:v:87:y:2023:i:c:p:110-117
    DOI: 10.1016/j.qref.2022.12.002
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    Cited by:

    1. Potrykus, Marcin, 2023. "Investing in wine, precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles," International Review of Financial Analysis, Elsevier, vol. 87(C).

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    More about this item

    Keywords

    Commodities price bubble; Generalized supremum ADF; Panel data analysis;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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