Abstract
We investigate the presence of rational speculative bubbles in 28 commodities traded in the U.S. markets. Using the duration dependence test on the stochastic interest-adjusted basis, we find that 11 of 28 commodities experienced some episodes of rational speculative bubble. These commodities are in the energy sector WTI crude oil; in foodstuffs and industrials sector coffee; in livestock and meats sector lean hogs; and in metals gold and platinum. In the grains and oilseeds sector corn, the soybean sub-sector (soybean No. 2, soybean meal and oil) and the wheat sub-sector, (wheat No. 2 soft red and hard winter) all exhibited speculative bubbles. Additionally, we report mean reversion in natural gas, propane, live cattle, and pork bellies.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
