Details
| Original language | English |
|---|---|
| Pages (from-to) | 916-938 |
| Number of pages | 23 |
| Journal | Journal of Futures Markets |
| Volume | 35 |
| Issue number | 10 |
| Publication status | Published - 1 Oct 2015 |
Abstract
This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values-estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable.
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Business, Management and Accounting(all)
- General Business,Management and Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: Journal of Futures Markets, Vol. 35, No. 10, 01.10.2015, p. 916-938.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Booms and Busts in Commodity Markets
T2 - Bubbles or Fundamentals?
AU - Brooks, Chris
AU - Prokopczuk, Marcel
AU - Wu, Yingying
PY - 2015/10/1
Y1 - 2015/10/1
N2 - This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values-estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable.
AB - This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a 40-year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values-estimated from convenience yields and from a set of macroeconomic factors believed to affect commodity demand. We find reliable evidence for bubbles only among crude oil and feeder cattle, showing the popular belief that the extreme price movements observed in commodity markets were caused by pure speculation to be unsustainable.
UR - http://www.scopus.com/inward/record.url?scp=84940743073&partnerID=8YFLogxK
U2 - 10.1002/fut.21721
DO - 10.1002/fut.21721
M3 - Article
AN - SCOPUS:84940743073
VL - 35
SP - 916
EP - 938
JO - Journal of Futures Markets
JF - Journal of Futures Markets
SN - 0270-7314
IS - 10
ER -