Looking for Rational Bubbles in Agricultural Commodity Markets

In this paper, we use a bootstrap methodology to helps us to compute the finite sample probability distribution of the asymptotic tests recently proposed in Phillips et al. (2009b) and Phillips and Yu (2009c). Simulation shows that the bootstrap methodology works well and allows us to identify explosive processes and collapsing bubbles. We apply the bootstrap procedure to the wheat and rough rice commodity prices. We find some evidence of price exuberance for both prices in the 2007-2008 period.


Subject(s):
Issue Date:
2011
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/120377
Total Pages:
13
JEL Codes:
G14; Q14; C12; C15




 Record created 2017-04-01, last modified 2017-08-26

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