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	Provedor de dados 31 (1) Autor Filler, Gunther (1) Liu, Xiaoliang (1) Odening, Martin (1) Palavra-chave Agricultural commodity market (1) C12 (1) Fundamental values. (1) Net convenience yield (1) Q13 (1) Q14 (1) Regime switching (1) Risk and Uncertainty (1) Speculative bubbles (1) Mais... Tipo do documento Presentation (1) Ano 2012 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Testing for Speculative Bubbles in Agricultural Commodity Prices: A Regime Switching Approach 31 Liu, Xiaoliang; Filler, Gunther; Odening, Martin. 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. Tipo: Presentation Palavras-chave: Agricultural commodity market; Net convenience yield; Speculative bubbles; Regime switching; Fundamental values.; Risk and Uncertainty; C12; Q13; Q14. Ano: 2012 URL: http://purl.umn.edu/122554 Registros recuperados: 1 Primeira ... 1 ... Última

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