Testing for bubbles in agriculture commodity markets
作者： Francisco José Areal , Kevin Balcombe , George Rapsomanikis
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摘要: We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips et al. , 2012) to monthly time-series food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices a total of 28 commodities between 1980-2012. found price occurred 6 out 10 studied within food markets. Results from tests can help implementing policies aimed at mitigating effects future targeted commodity markets that may require special attention.
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