Are there nonlinear speculative bubbles in commodities prices?

被引:7
作者
Ahmed, Ehsan [1 ]
Rosser, J. Barkley, Jr. [1 ]
Uppal, Jamshed Y. [2 ]
机构
[1] James Madison Univ, Harrisonburg, VA 22807 USA
[2] Catholic Univ, Washington, DC USA
关键词
Speculative bubbles; commodity prices; nonlinearity; MARKET; PREDICTABILITY; ECONOMICS; DYNAMICS; TRADERS;
D O I
10.2753/PKE0160-3477360302
中图分类号
F [经济];
学科分类号
02 ;
摘要
Daily price movements of seventeen commodities are tested for the possible presence of nonlinear speculative bubbles during 1991-2012. A VAR model for logarithmic first differences of each is estimated with one-year Treasury bill rates, U. S. dollar value, a world stock market index, and an overall commodities price index using Hamilton regime switching and Hurst rescaled range tests. Residuals after removing ARCH for all seventeen commodity price series are tested for remaining nonlinearity using the BDS test. These tests fail to reject the presence of bubble-like trends and nonlinearity beyond ARCH for all seventeen commodity series. However, we note that we are unable to overcome the misspecified fundamentals problem, which means we cannot argue that we have definitely found speculative bubbles. At most we can argue that our results indicate that these markets appear to exhibit excess volatility and unexplained trends.
引用
收藏
页码:415 / 437
页数:23
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