Testing for bubbles in agriculture commodity markets

Areal, Francisco J and Balcombe, Kelvin and Rapsomanikis, George (2013): Testing for bubbles in agriculture commodity markets.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: price bubbles,generalized sup augmented Dickey-Fuller test, agricultural commodities
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q11 - Aggregate Supply and Demand Analysis ; Prices; Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q1 - Agriculture > Q13 - Agricultural Markets and Marketing ; Cooperatives ; Agribusiness

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