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Testing for bubbles in agriculture commodity markets

Lookup NU author(s): Dr Francisco Areal

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).


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.


Publication metadata

Author(s): Areal F, Balcombe K, Rapsomanikis G

Publication type: Article

Publication status: Published

Journal: Economía Agraria y Recursos Naturales – Agricultural and Resource Economics

Year: 2016

Volume: 16

Issue: 1

Pages: 59-79

Print publication date: 01/06/2016

Acceptance date: 01/02/2016

Date deposited: 10/05/2019

ISSN (print): 1578-0732

ISSN (electronic): 2174-7350

Publisher: Universitat Politècnica de València

URL: https://doi.org/10.7201/earn.2016.01.04

DOI: 10.7201/earn.2016.01.04


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