Accessibility navigation


Booms and busts in commodity markets: bubbles or fundamentals?

Brooks, C., Prokopczuk, M. and Wu, Y. (2015) Booms and busts in commodity markets: bubbles or fundamentals? Journal of Futures Markets, 35 (10). pp. 916-938. ISSN 1096-9934

[img]
Preview
Text - Accepted Version
· Please see our End User Agreement before downloading.

328kB

To link to this item DOI: 10.1002/fut.21721

Abstract/Summary

This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values—estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable

Item Type:Article
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:39235
Publisher:Wiley

Downloads

Downloads per month over past year

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation