scholarly journals Do natural rubber price bubbles occur?

2019 ◽  
Vol 65 (No. 2) ◽  
pp. 67-73 ◽  
Author(s):  
Chi-Wei Su ◽  
Lu Liu ◽  
Ran Tao ◽  
Oana-Ramona Lobonţ

In this paper, we employ the Generalized Supremum Augmented Dickey-Fuller test in order to identify the existence of multiple bubbles in natural rubber. This approach is practical for the using of time series and identifies the beginning and end points of multiple bubbles. The results reveal that there are five bubbles, where exist the divergences between natural rubber prices and their basic values on account of market fundamentals. The five bubbles are related to imbalance between supply and demand, inefficiencies of smallholders market, oil prices, exchange rate and climatic changes through analyses. Thus, the corresponding authorities are supposed to identify bubbles and consider their evolutions, which is beneficial to the stability of natural rubber price.

Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-7 ◽  
Author(s):  
Xi-Xi Zhang ◽  
Lu Liu ◽  
Chi-Wei Su ◽  
Ran Tao ◽  
Oana-Ramona Lobonţ ◽  
...  

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.


2018 ◽  
Vol 64 (No. 12) ◽  
pp. 566-573
Author(s):  
Xiao-Qing WANG ◽  
Chi-Wei SU ◽  
Ran TAO ◽  
Oana-Ramona LOBONŢ

This paper examines whether there are multiple explosive bubble episodes in international food market by employing the Generalised Supremum Augmented Dickey-Fuller (GSADF) test. This method is particularly suitable for practical application of time series and provides an innovative consistent date-stamping strategy for the origination and termination of bubble episodes. Our results show that there are four explosive bubble episodes mostly accompanied by huge price volatilities during 1990–2017, which is largely in line with the asset pricing model (Gürkaynak 2008). The exuberance and collapse of bubble episodes can be explained by imbalance between supply and demand, depreciation of U.S. dollar, financial crisis and speculation. Our findings also provide supporting evidence for the Masters hypothesis that tremendous buying pressure from index investments contributes to substantial bubble episodes. The authorities should accurately identify bubble episode and monitor its evolving process, which is propitious to achieve the effective stabilisation of global food system. Particularly, restrictions on excessive speculative trading should be arranged under extreme market situations in order to forestall the explosion of multiple food bubbles.


2021 ◽  
Vol 3 (2) ◽  
pp. 7-18
Author(s):  
Mert Ural ◽  
◽  

Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, we performed GSADF test by using weekly closing prices of the nominal exchange rate for the period between 23.08.2015 to 04.04.2021. In line with the empirical findings obtained, two explosive bubbles are detected in 2018 and 2020 when USDKZT exchange rate deviates from fundamental value. Our findings suggest that due to the possibility of bubble repetition, GSADF has been verified to be a better test for detecting bubbles.


2016 ◽  
Vol 16 (1) ◽  
pp. 59 ◽  
Author(s):  
Francisco José Areal ◽  
Kevin Balcombe ◽  
George Rapsomanikis

<p class="Num-DocParagraph">We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips <em>et al.</em>, 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.</p>


2016 ◽  
Vol 16 (1) ◽  
pp. 59 ◽  
Author(s):  
Francisco José Areal ◽  
Kevin Balcombe ◽  
George Rapsomanikis

<p class="Num-DocParagraph">We apply the recent generalized sup augmented Dickey-Fuller (GSADF) test for explosive bubbles (Phillips <em>et al.</em>, 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.</p>


SAGE Open ◽  
2021 ◽  
Vol 11 (2) ◽  
pp. 215824402110066
Author(s):  
Rafiq Ahmed ◽  
Syed Tehseen Jawaid ◽  
Samina Khalil

There is an upward trend in housing prices around the world, and Pakistan is no different either; being a developing county, it is facing a rising population. Due to this, the demand for housing has exceeded its supply and in turn rinsing their prices. This study is the first attempt to identify housing price bubbles in Pakistan from 1972 to 2018. The data are available on an annual basis, and to capture the price volatility, it is converted into a quarterly and monthly format. The Generalized Supremum Augmented Dickey–Fuller (GSADF) test is used to detect multiple bubbles. Monthly data showed more episodes of bubbles than yearly and quarterly data; in each case, it reported two periods of bubble episodes. The results of the house price dynamics suggest a higher return with high risk in the short run.


Author(s):  
Ondrej Ledvinka ◽  
◽  
Pavel Coufal ◽  

The territory of Czechia currently suffers from a long-lasting drought period which has been a subject of many studies, including the hydrological ones. Previous works indicated that the basin of the Morava River, a left-hand tributary of the Danube, is very prone to the occurrence of dry spells. It also applies to the development of various hydrological time series that often show decreases in the amount of available water. The purpose of this contribution is to extend the results of studies performed earlier and, using the most updated daily time series of discharge, to look at the situation of the so-called streamflow drought within the basin. 46 water-gauging stations representing the rivers of diverse catchment size were selected where no or a very weak anthropogenic influences are expected and the stability and sensitivity of profiles allow for the proper measurement of low flows. The selected series had to cover the most current period 1981-2018 but they could be much longer, which was considered beneficial for the next determination of the development direction. Various series of drought indices were derived from the original discharge series. Specifically, 7-, 15- and 30-day low flows together with deficit volumes and their durations were tested for trends using the modifications of the Mann– Kendall test that account for short-term and long-term persistence. In order to better reflect the drivers of streamflow drought, the indices were considered for summer and winter seasons separately as well. The places with the situation critical to the future water resources management were highlighted where substantial changes in river regime occur probably due to climate factors. Finally, the current drought episode that started in 2014 was put into a wider context, making use of the information obtained by the analyses.


2020 ◽  
Vol 1 (11) ◽  
pp. 103-108
Author(s):  
T. I. SAILAONOV ◽  

The article analyzes the state of pricing in the oil market, examines topical issues of assessing the emerging factors of influence both on the domestic and foreign markets. Particular attention is paid to the issues of the emerging situation of supply and demand for oil and oil products, regulation of its production, storage, transportation, processing, formation of sales volumes and income from sales. Highlighted and disclosed the problem of price regulation in the aspects of finding and achieving flexible forms of negotiating prices for oil supply and oil sales, taking into account various options for the volume of oil production.


2020 ◽  
Vol 17 (4) ◽  
pp. 215-227
Author(s):  
Julia Babirath ◽  
Karel Malec ◽  
Rainer Schmitl ◽  
Kamil Maitah ◽  
Mansoor Maitah

The attempt to predict stock price movements has occupied investors ever since. Reliable forecasts are a basis for investment management, and improved forecasting results lead to enhanced portfolio performance and sound risk management. While forecasting using the Wiener process has received great attention in the literature, spectral time series analysis has been disregarded in this respect. The paper’s main objective is to evaluate whether spectral time series analysis can produce reliable forecasts of the Aurubis stock price. Aurubis poses a suitable candidate for an investor’s portfolio due to its sound economic and financial situation and the steady dividend policy. Additionally, reliable management contributes to making Aurubis an investment opportunity. To judge if the achieved forecast results can be considered satisfactory, they are compared against the simulation results of a Wiener process. After de-trending the time series using an Augmented Dickey-Fuller test, the residuals were compartmentalized into sine and cosine functions. The frequencies, amplitude, and phase were obtained using the Fast Fourier transform. The mean absolute percentage error measured the accuracy of the stock price prediction, and the results showed that the spectral analysis was able to deliver superior results when comparing the simulation using a Wiener process. Hence, spectral time series can enhance stock price forecasts and consequently improve risk management.


2021 ◽  
Vol 2 (7) ◽  
pp. 2408-2418
Author(s):  
Le Wan ◽  
Cong Deng ◽  
Ze-Yong Zhao ◽  
Hai-Bo Zhao ◽  
Yu-Zhong Wang

Titanium oxide-carbon nanotube hybrids may efficiently promote the stability of nature rubber under extreme frictional conditions.


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