Testing for bubbles in agriculture commodity markets

Francisco José Areal; Kelvin Balcombe; George Rapsomanikis

doi:10.7201/earn.2016.01.04

Testing for bubbles in agriculture commodity markets

Francisco José Areal^*, Kelvin Balcombe, George Rapsomanikis

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

11 Citations (Scopus)

26 Downloads (Pure)

Abstract

We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips et al., 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 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.

Original language	English
Pages (from-to)	59-79
Number of pages	21
Journal	Economia Agraria y Recursos Naturales
Volume	16
Issue number	1
DOIs	https://doi.org/10.7201/earn.2016.01.04
Publication status	Published - 17 Jun 2016
Externally published	Yes

Keywords

Food prices
Generalized sup augmented Dickey Fuller
Price bubbles

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Testing for bubbles in agriculture commodity markets

Abstract

Keywords

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