Agricultural Commodity Price Dynamics and their Determinants: A Comprehensive Econometric Approach †

We employ the generalized supremum augmented Dickey–Fuller test to examine whether there are multiple bubbles in Chinese agricultural commodities. The proposed approach is suitable for time series data and identifies the origination and termination of multiple bubbles. The results indicate the existence of bubbles for some agricultural commodity prices, such as garlic, ginger, corn, and wheat prices, that deviate from their intrinsic values upon market fundamentals. The bubbles in the garlic and ginger market are related to speculative activities. The other bubbles, in the corn and wheat market, are associated with the rising oil price, international market, and the negative effect of stockpiling policy. The authorities should recognize bubbles and observe their evolutions, leading to Chinese agricultural commodity price stabilization. These findings suggest corresponding measures to be implemented. China should establish a unified market information release platform to avoid speculative activities and formulate a market-oriented agricultural policy to enhance competitiveness among the international markets.

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Commodity Price Dynamics and Anticipated Shocks

American Journal of Agricultural Economics ◽

10.2307/1243854 ◽

1996 ◽

Vol 78 (4) ◽

pp. 982-990 ◽

Cited By ~ 14

Author(s):

Ching‐chong Lai ◽

Shih‐wen Hu ◽

Vey Wang

Keyword(s):

Commodity Price ◽

Price Dynamics

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On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

Journal of Agricultural and Applied Economics ◽

10.1017/s1074070800002972 ◽

2009 ◽

Vol 41 (2) ◽

pp. 521-528 ◽

Cited By ~ 3

Author(s):

Jungho Baek ◽

Won W. Koo

Keyword(s):

Interest Rates ◽

Commodity Prices ◽

Commodity Price ◽

Farm Income ◽

Agricultural Commodity ◽

Macroeconomic Variables ◽

Distributed Lag ◽

Dynamic Relationship ◽

Long Run ◽

Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

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