Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets

被引:30
作者
Li, Jian [1 ,2 ]
Chavas, Jean-Paul [2 ]
Etienne, Xiaoli L. [3 ]
Li, Chongguang [1 ]
机构
[1] Huazhong Agr Univ, Coll Econ & Management, 1 Shizishan St, Wuhan 430070, Hubei, Peoples R China
[2] Univ Wisconsin Madison, Dept Agr & Appl Econ, 518 Taylor Hall,427 Lorch St, Madison, WI 53706 USA
[3] West Virginia Univ, Div Resource Econ & Management, 4208 Agr Sci Bldg,333 Evansdale Dr, Morgantown, WV 26505 USA
基金
中国国家自然科学基金;
关键词
Q02; Q11; G13; Price bubbles; Macroeconomic factors; Agricultural commodity; Right-tailed unit root test; Zero-inflated Poisson model; China; LIMIT THEORY; TRANSMISSION; EXUBERANCE;
D O I
10.1111/agec.12372
中图分类号
F3 [农业经济];
学科分类号
0202 ; 020205 ; 1203 ;
摘要
This article investigates the links between commodity price bubbles and macroeconomic factors, with an application to the agricultural commodity markets in China from 2006 to 2014. Price bubbles are identified using a newly developed, recursive right-tailed unit root test. A Zero-inflated Poisson model is used to analyze the factors contributing to bubbles. Results show that (a) there were speculative bubbles in most Chinese agricultural commodity futures markets during the sample period, though their presence was infrequent; (b) economic growth, money supply, and inflation have positive effects on bubble occurrences, while interest rates have a negative effect; and (c) among all macroeconomic factors considered, economic growth and money supply have the greatest impact in triggering bubbles. Our findings shed new light on the nature and formation of bubbles in the Chinese agricultural commodity markets.
引用
收藏
页码:755 / 768
页数:14
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