Speculative bubbles in agricultural commodity markets

被引:98
作者
Gutierrez, Luciano [1 ]
机构
[1] Univ Sassari, I-07100 Sassari, Italy
关键词
commodity prices; bubbles; bootstrap; unit root tests; G14; Q14; C12; C15; UNIT-ROOT; SIEVE BOOTSTRAP; FUTURES PRICES; TESTS; POWER;
D O I
10.1093/erae/jbs017
中图分类号
F3 [农业经济];
学科分类号
0202 ; 020205 ; 1203 ;
摘要
Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 20072008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodology to compute the finite sample distributions of recently proposed tests. Monte-Carlo simulations show that the bootstrap methodology works well, and allows us to identify explosive processes and collapsing bubbles for wheat, corn and rough rice. There was less evidence of exuberance in soya bean prices.
引用
收藏
页码:217 / 238
页数:22
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