Title | Commodity price bubbles and macroeconomics: evidence from the Chinese agricultural markets |
Authors | 李崇光 |
Issue Date | 2017 |
Publisher | Agricultural Economics |
Keywords | Agricultural commodity China G13 Macroeconomic factors Price bubbles Q02 Q11 Right‐tailed unit root test Zero‐inflated Poisson model Zero-inflated Poisson model |
Citation | Agricultural economics, 2017, 48(6):755-68. |
Abstract | 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. |
Appears in Collections: | 校领导 |