Bubbles in food commodity markets: Four decades of evidence

Journal of International Money and Finance - Tập 42 - Trang 129-155 - 2014
Xiaoli L. Etienne1, Scott H. Irwin1, Philip Garcia1
1Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign, USA

Tài liệu tham khảo

Anderson, 1959, On asymptotic distributions of estimates of parameters of stochastic difference equations, Ann. Math. Stat., 30, 676, 10.1214/aoms/1177706198

Anderson, 1985, Some determinants of the volatility of futures prices, J. Futur. Mark., 5, 331, 10.1002/fut.3990050305

Bobenrieth, 2013

Boyd, 2013

Carter, 1999, Commodity futures markets: a survey, Austr. J. Agri. Resour. Econ., 43, 209, 10.1111/1467-8489.00077

Cavaliere, 2008, Bootstrap unit root tests for time series with nonstationary volatility, Econ. Theor., 24, 43, 10.1017/S0266466608080043

Fama, 1987, Commodity futures prices: some evidence on forecast power, premiums, and the theory of storage, J. Bus., 55, 10.1086/296385

Forsythe, 1984, Futures markets and informational efficiency: a laboratory examination, J. Finan., 39, 955, 10.1111/j.1540-6261.1984.tb03887.x

Garcia, 2004, A selected review of agricultural commodity futures and options markets, Eur. Rev. Agri. Econ., 31, 235, 10.1093/erae/31.3.235

Gheit, 2008

Gilbert, 2010

Gonçalves, 2004, Bootstrapping autoregressions with conditional heteroskedasticity of unknown form, J. Econ., 123, 89, 10.1016/j.jeconom.2003.10.030

Gutierrez, 2013, Speculative bubbles in agricultural commodity markets, Eur. Rev. Agri. Econ., 40, 217, 10.1093/erae/jbs017

Hicks, 1939

Irwin, 2011, Index funds, financialization, and commodity futures markets, Appl. Econ. Perspect. Policy, 33, 1, 10.1093/aepp/ppq032

Irwin, 2012, Financialization and structural change in commodity futures markets, J. Agri. Appl. Econ., 44, 371, 10.1017/S1074070800000481

Keynes, 1930

Liu, 2010

MacKinnon, 2002, Bootstrap inference in econometrics, Can. J. Econ., 35, 615, 10.1111/0008-4085.00147

Masters, 2008

Masters, 2009

Noussair, 2006, Futures markets and bubble formation in experimental asset markets, Pac. Econ. Rev., 11, 167, 10.1111/j.1468-0106.2006.00308.x

Peterson, 2005, How much of commodity price behavior can a rational expectations storage model explain?, Agri. Econ., 33, 289, 10.1111/j.1574-0864.2005.00068.x

Phillips, 2007, Limit theory for moderate deviations from a unit root, J. Econ., 136, 115, 10.1016/j.jeconom.2005.08.002

Phillips, 2012

Phillips, 2013, Specification sensitivity in right-tailed unit root testing for explosive behaviour, Oxf. Bull. Econ. Stat., 10.1111/obes.12026

Phillips, 2013

Phillips, 2013

Phillips, 2011, Explosive behavior in the 1990s NASDAQ: when did exuberance escalate asset values?, Int. Econ. Rev., 52, 201, 10.1111/j.1468-2354.2010.00625.x

Phillips, 2011, Dating the timeline of financial bubbles during the subprime crisis, Quant. Econ., 2, 455, 10.3982/QE82

Piesse, 2009, Three bubbles and a panic: an explanatory review of recent food commodity price events, Food Policy, 34, 119, 10.1016/j.foodpol.2009.01.001

Pindyck, 1993, The present value model of rational commodity pricing, Econ. J., 103, 511, 10.2307/2234529

Sanders, 2012, A reappraisal of investing in commodity futures markets, Appl. Econ. Perspect. Policy, 34, 515, 10.1093/aepp/pps026

Taylor, 1986

Tirole, 1982, On the possibility of speculation under rational expectations, Econometrica, 53, 1499, 10.2307/1913232

Tomek, 1997, Commodity futures prices as forecasts, Rev. Agri. Econ., 19, 23, 10.2307/1349677

Tomek, 2001, Risk management in agricultural markets: a review, J. Futur. Mark., 21, 953, 10.1002/fut.2004

Wang, 2007, Commodity prices and unit root tests, Am. J. Agri. Econ., 89, 873, 10.1111/j.1467-8276.2007.01031.x

White, 1958, The limiting distribution of the serial correlation coefficient in the explosive case, Ann. Math. Stat., 29, 1188, 10.1214/aoms/1177706450

Wright, 1991

Yang, 1994, Daily futures price changes and non-linear dynamics, Struct. Chang. Econ. Dyn., 5, 111, 10.1016/S0954-349X(05)80024-4