Testing for bubbles in agriculture commodity markets

  • Francisco José Areal School of Agriculture Policy and Development University of Reading.
  • Kelvin Balcombe School of Agriculture, Policy and Development University of Reading.
  • George Rapsomanikis Trade and Markets Division, Food and Agriculture Organisation of the United Nations, Rome.
Keywords: Generalized SUP augmented Dickey Fuller, food prices, price bubbles.


We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips et al., 2012) to monthly time-series for food, beverages, agricultural raw material, cereals, dairy, meat, oils and sugar indices and a total of 28 agricultural commodities between 1980-2012. We found price bubbles occurred for 6 out of the 10 indices studied and for 6 out of the 28 commodities within food markets. Results from the tests can help implementing policies aimed at mitigating effects of future price bubbles to targeted food commodity markets that may require special attention.