Speculative bubbles in agricultural commodity markets

Luciano Gutierrez

142 citations0/0 files storedEuropean Review of Agricultural Economics

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Economics of Agriculture and Food Markets Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Numerous factors have been proposed in the literature as explaining the recent commodity price movements.In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles.We investigate whether commodity prices during the spike of 2007 -2008 might have deviated from their intrinsic values based on market fundamentals.To do this, we use a bootstrap methodology to compute the finite sample distributions of recently proposed tests.Monte-Carlo simulations show that the bootstrap methodology works well, and allows us to identify explosive processes and collapsing bubbles for wheat, corn and rough rice.There was less evidence of exuberance in soya bean prices.

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References

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2016The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies 2013Global Maize Trade and Food Security: Implications from a Social Network Model 2014Price Explosiveness, Speculation, and Grain Futures Prices 2014Speculative bubbles in agricultural prices 2019Detecting Financial Collapse and Ballooning Sovereign Risk 2014An analytical review of volatility metrics for bubbles and crashes

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