Bubbles in Commodities Markets
GARP Research Center
University of the Pacific (UOP) - Eberhardt School of Business
Robert Morris University
February 13, 2009
We investigate the presence of rational speculative bubbles in 28 commodities traded in the U.S. markets. Using the duration dependence test on the stochastic interest-adjusted basis, we find that 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are in the energy sector WTI crude oil; in foodstuffs and industrials sector coffee; in livestock and meats sector lean hogs; and in metals gold and platinum. In the grains and oilseeds sector corn, the soybean sub-sector (soybean No. 2, soybean meal and oil) and the wheat sub-sector, (wheat No. 2 soft red and hard winter) all exhibited speculative bubbles. Additionally, we report mean reversion in natural gas, propane, live cattle, and pork bellies.
Number of Pages in PDF File: 42
Keywords: commodities markets, commodities futures, duration dependence, non-parametric methods, convenience yield, speculative bubbleworking papers series
Date posted: February 14, 2009
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