文章基本信息

标题：Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach
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作者：Liu, Xiaoliang ; Filler, Gunther ; Odening, Martin 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2012
出版社：Food Distribution Research Society
摘要：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.
关键词：Agricultural commodity market;net convenience yield;speculative bubbles;regime switching;fundamental values