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Do cointegrated commodities bubble together? the case of hog, corn, and soybean

Author

Listed:
  • Christos Alexakis

    (ESC [Rennes] - ESC Rennes School of Business)

  • Guillaume Bagnarosa

    (ESC [Rennes] - ESC Rennes School of Business)

  • Michael Dowling

    (ESC [Rennes] - ESC Rennes School of Business)

Abstract

Hog, corn, and soybean meal futures are shown to be cointegrated, reflecting the close intrinsic relationship of corn and soybean meal as the primary feed for hogs. Applying a recent technique to date-stamp pricing bubbles we further show that bubbles in feed do not appear to be associated with bubbles in the price of hogs. Instead there are temporary deviations in the spread between hog and feed, but the long-term cointegration relationship leads to a reversion towards the common trend. This finding sheds new insight into the price behaviour of commodities that depend for input costs on other commodities.

Suggested Citation

  • Christos Alexakis & Guillaume Bagnarosa & Michael Dowling, 2017. "Do cointegrated commodities bubble together? the case of hog, corn, and soybean," Post-Print hal-02002169, HAL.
    • Handle: RePEc:hal:journl:hal-02002169
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    Cited by:

    1. Gomez-Gonzalez, Jose Eduardo & Sanin-Restrepo, Sebastian, 2018. "The maple bubble: A history of migration among Canadian provinces," Journal of Housing Economics, Elsevier, vol. 41(C), pages 57-71.
    2. Caspi, Itamar & Graham, Meital, 2018. "Testing for bubbles in stock markets with irregular dividend distribution," Finance Research Letters, Elsevier, vol. 26(C), pages 89-94.
    3. Fatima, Hira & Ahmed, Mumtaz, 2019. "Testing for Exuberance Behavior in Agricultural Commodities of Pakistan," MPRA Paper 95304, University Library of Munich, Germany.
    4. Liwen Ling & Dabin Zhang & Shanying Chen & Amin W. Mugera, 2020. "Can online search data improve the forecast accuracy of pork price in China?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 671-686, July.
    5. Fang, Ming & Lin, Yizhou & Chang, Chiu-Lan, 2023. "Positive and negative price bubbles of Chinese agricultural commodity futures," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 456-471.
    6. Ma, Richie Ruchuan & Xiong, Tao, 2021. "Price explosiveness in nonferrous metal futures markets," Economic Modelling, Elsevier, vol. 94(C), pages 75-90.
    7. Dejan Živkov & Biljana Stankov & Nataša Papić-Blagojević & Jelena Damnjanović & Željko Račić, 2023. "How to reduce the extreme risk of losses in corn and soybean markets? Construction of a portfolio with European stock indices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 69(3), pages 109-118.

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