Graduation Term
2024
Degree Name
Master of Science (MS)
Department
Department of Economics: Applied Economics
Committee Chair
George Waters
Abstract
Recent asset pricing bubble bursts in some markets beg the question of whether bubbles exist in others. Determining whether they exist has been investigated for years, with various approaches. This paper combines the Engle-Granger technique with a GSADF test to test for bubbles in corn and soybean futures prices. I attempt to find measures for the market fundamentals of the futures, employing PPIs and costs of production for each commodity. My findings provide some evidence for the existence of bubbles, though the results are not definitive. Overall, the findings imply a possibility for bubbles but also apossibility of true increases in the underlying value of agricultural commodities
Access Type
Thesis-Open Access
Recommended Citation
Riffle, Samuel, "Asset Pricing Bubbles in Agricultural Commodities" (2024). Theses and Dissertations. 1947.
https://ir.library.illinoisstate.edu/etd/1947
DOI
https://doi.org/10.30707/ETD2024.20240618063950837793.999931