Testing bubbles formation at real-time commodity prices


Yildirim H.

Journal of Public Affairs, cilt.21, sa.3, 2021 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 21 Sayı: 3
  • Basım Tarihi: 2021
  • Doi Numarası: 10.1002/pa.2243
  • Dergi Adı: Journal of Public Affairs
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Academic Search Premier, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, Communication & Mass Media Index, PAIS International, Political Science Complete, Public Affairs Index, vLex
  • İstanbul Gelişim Üniversitesi Adresli: Evet

Özet

© 2020 John Wiley & Sons, LtdPrice bubbles, which play an important role in financial crises, can be observed in various assets. Regardless of the type of asset or assets, the resulting price bubble can distort the balance in financial markets. In this case, it may turn into an economic crisis that potential leap into the real sector and the financial sector. Therefore, it is an important step to test in which assets the price bubbles occur and how long they are exposed to price bubbles. Previous experience indicates that the price bubbles that may occur in commodities that are important especially for the global companies producing and the households consuming the goods subject to production is an important process for the economy. In this study, 16 different real-time commodity prices that are indexed in US Dollars and which contain metal, plant, meat and energy groups, are used to examine the existence of the price bubble in selected commodities. For commodity prices, 2015–2019 daily closing prices were used and sup augmented Dickey–Fuller test was applied. Consequently, the result of the findings affirms the existence of a price bubble for beef cattle and timber, while the price bubble for the other 14 commodities could not be ascertained. This shows that in the majority of real-time commodities, price movements are driven by core values and are in line with the efficient market hypothesis.