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Testing for bubbles in agriculture commodity markets

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  • Areal, Francisco J
  • Balcombe, Kelvin
  • Rapsomanikis, George

Abstract

A number of tests and dating algorithms have been developed and used to identify rapid increases in prices followed by a collapse, also known as explosive bubbles (Phillips, Wu and Yu, 2011; Phillips, Shi and Yu, 2012; Gilbert, 2009; Gutierrez, forthcoming). Previous analysis on agriculture commodities by Gilbert (2009) and Gutierrez (forthcoming) applied the tests developed by Phillips, Wu and Yu (2011) and focused on four agricultural commodities. In contrast, we apply the more recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips, Shi and Yu, 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for some commodities within food markets.

Suggested Citation

  • Areal, Francisco J & Balcombe, Kelvin & Rapsomanikis, George, 2013. "Testing for bubbles in agriculture commodity markets," MPRA Paper 48015, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:48015
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Etienne, Xiaoli L., 2015. "Financialization of Agricultural Commodity Markets: Do Financial Data Help to Forecast Agricultural Prices?," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205124, Agricultural and Applied Economics Association.
    2. Fatima, Hira & Ahmed, Mumtaz, 2019. "Testing for Exuberance Behavior in Agricultural Commodities of Pakistan," MPRA Paper 95304, University Library of Munich, Germany.
    3. Itamar Caspi & Nico Katzke & Rangan Gupta, 2014. "Date stamping historical oil price bubbles: 1876 - 2014," Working Papers 20/2014, Stellenbosch University, Department of Economics.
    4. Fantazzini, Dean, 2016. "The oil price crash in 2014/15: Was there a (negative) financial bubble?," Energy Policy, Elsevier, vol. 96(C), pages 383-396.
    5. repec:eee:eneeco:v:70:y:2018:i:c:p:582-587 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-586 is not listed on IDEAS
    7. Kräussl, Roman & Lehnert, Thorsten & Martelin, Nicolas, 2016. "Is there a bubble in the art market?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 99-109.
    8. repec:ris:buecrj:0327 is not listed on IDEAS
    9. Jeanne Diesteldorf & Sarah Meyer & Jan Voelzke, 2016. "New evidence for explosive behavior of commodity prices," CQE Working Papers 5016, Center for Quantitative Economics (CQE), University of Muenster.
    10. Rosa, Franco & Vasciaveo, Michela & Weaver, Robert D., 2014. "Agricultural and oil commodities: price transmission and market integration between US and Italy," Bio-based and Applied Economics Journal, Italian Association of Agricultural and Applied Economics (AIEAA), vol. 3(2), pages 1-25, August.
    11. Caramugan, Karlo Martin & Bayacag, Purisima, 2016. "Price Bubble in Selected ASEAN Agricultural Exports: An Application of the Generalized Supremum Augmented Dickey Fuller," MPRA Paper 74807, University Library of Munich, Germany.
    12. Laurie Binge & Willem H Boshoff, 2016. "Modelling South African Art Prices: An analysis of post-2000 price behaviour," Working Papers 18/2016, Stellenbosch University, Department of Economics.
    13. Butt, Muhammad Danial & Ahmed, Mumtaz, 2019. "Testing for Multiple Bubbles in Inflation for Pakistan," MPRA Paper 96705, University Library of Munich, Germany.
    14. repec:eee:enepol:v:110:y:2017:i:c:p:525-533 is not listed on IDEAS

    More about this item

    Keywords

    price bubbles; generalized sup augmented Dickey-Fuller test; agricultural commodities;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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