Speculative bubbles in agricultural prices

descriptionPublicationkeyboard_double_arrow_right Article 01 Feb 2015 English Publisher:Elsevier BVJournal:The Quarterly Review of Economics and Finance, volume 55, pages 67-76 (issn: 1062-9769,

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Authors: Philipp Adämmer; Martin T. Bohl;

doi: 10.1016/j.qref.2014.06.003

Speculative bubbles in agricultural prices

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Abstract

Abstract We use the momentum threshold autoregressive (MTAR) approach to test for speculative bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these agricultural commodities, we use real crude oil prices and real exchange rates. Our empirical results support the hypothesis that speculative bubbles are present in wheat prices between 2003 and 2013. For corn and soybeans, however, our empirical results are inconclusive.

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University of Münster
Germany

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