Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach

The sharp increase in agricultural commodity prices in 2008 and in 2011 has triggered an intensive debate on the causes for these price booms. Speculative bubbles have been quoted as one factor among others for the price peaks. Against this background, our paper contributes to this discussion by implementing a novel test procedure for speculative bubbles which has been suggested in the stock market literature. We use a regime switching regression model to test the hypothesis that agricultural prices are driven by periodically collapsing bubbles. The analysis is conducted for wheat, which is one of the most important crops worldwide. Our results show that the data do not support this particular bubbles hypothesis.


Issue Date:
Feb 23 2012
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/122554
Total Pages:
20
JEL Codes:
C12; Q13; Q14




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

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