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Testing for bubbles in agriculture commodity markets

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Areal, F. J., Balcombe, K. and Rapsomanikis, G. (2016) Testing for bubbles in agriculture commodity markets. Economía Agraria y Recursos Naturales - Agricultural and Resource Economics, 16 (1). pp. 59-79. ISSN 1578-0732

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To link to this item DOI: 10.7201/earn.2016.01.04

Abstract/Summary

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.

Item Type:Article
Refereed:Yes
Divisions:Interdisciplinary centres and themes > Centre for Food Security
Life Sciences > School of Agriculture, Policy and Development > Department of Agri-Food Economics & Marketing
ID Code:52852
Publisher:Asociación Española de Economía Agraria
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