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• W1980167787 abstract "Abstract A recently developed testing procedure is used to detect and date‐stamp explosive episodes (“bubbles”) in corn, soybean, and wheat futures markets during 2004–2013. We find that the markets experienced price explosiveness only approximately two percent of the time and, when bubbles do occur, they are generally short‐lived and small in magnitude. The correspondence between observed price spikes and bubbles is rather low, with a large portion of the price explosiveness occurring during downward price movements. Commodity index trader positions do not significantly affect the probability of a positive bubble occurring in grain futures markets, which directly contradicts the argument (the “Masters Hypothesis”) that waves of index investment distorted underlying supply‐and‐demand relationships and led to a series of massive bubbles in agricultural futures markets. In addition, commodity index trader positions tend to reduce negative bubble occurrence, while general speculative activity as measured by Working's T reduces the probability of a positive bubble. There is some evidence that the positions of noncommercial traders have a direct effect on positive bubble occurrence, but the effect declines when accounting for the composition of other traders in the market. Overall, speculation has little effect or negative effects on price explosiveness. Finally, positive bubbles are more likely to occur in the presence of low inventories, strong exports, a weak U.S. dollar, and booming economic growth, whereas negative bubbles are more likely to occur with large inventories, weak exports, and stagnant economic growth." @default.
• W1980167787 created "2016-06-24" @default.
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• W1980167787 creator A5051650754 @default.
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• W1980167787 date "2014-08-27" @default.
• W1980167787 modified "2023-10-01" @default.
• W1980167787 title "Price Explosiveness, Speculation, and Grain Futures Prices" @default.
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• W1980167787 doi "https://doi.org/10.1093/ajae/aau069" @default.
• W1980167787 hasPublicationYear "2014" @default.
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