TY - JOUR
T1 - Testing for bubbles in agriculture commodity markets
AU - Areal, Francisco José
AU - Balcombe, Kelvin
AU - Rapsomanikis, George
PY - 2016/6/17
Y1 - 2016/6/17
N2 - 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.
AB - 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.
KW - Food prices
KW - Generalized sup augmented Dickey Fuller
KW - Price bubbles
UR - http://www.scopus.com/inward/record.url?scp=84979555793&partnerID=8YFLogxK
U2 - 10.7201/earn.2016.01.04
DO - 10.7201/earn.2016.01.04
M3 - Article
VL - 16
SP - 59
EP - 79
JO - Economia Agraria y Recursos Naturales
JF - Economia Agraria y Recursos Naturales
SN - 1578-0732
IS - 1
ER -