We use the daily prices from individual futures contracts to test whether speculative bubbles exist in agricultural futures markets and identify whether patterns of bubble behavior exist over time. Test results demonstrate that all 12 agricultural markets experienced multiple periods of price explosiveness. However, bubble episodes only represent a very small portion of the price behavior for the 42-year period. In addition, most of the bubbles are short-lived, lasting fewer than 20 days. We also find that explosive periods are more common with longer durations in the first half of the sample period, indicating that the most recent bubble episodes may not have been as severe as the mid-1970s episode. Though receiving far less public attention, results from this study suggest that negative bubbles contribute significantly to price behavior, accounting for more than one-third of total bubble episodes. In general, the size of the bubble (return from bubble extremum to end of bubble) increases as the bubble signal (return from start to bubble extremum) gets larger for both positive and negative bubbles. It appears that during the last half of the sample period, with a couple of exceptions, agricultural futures markets have adjusted faster to stochastic shocks than in the first half of the sample period, resulting in fewer bubbles of shorter length and less over-reaction.

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF test under different hypotheses and model specifications. The size and power properties of the test under various scenarios are examined in simulations and some recommendations for empirical practice are given. Empirical applications to the Nasdaq and to Australian and New Zealand housing data illustrate these specification issues and reveal their practical importance in testing.

the Sterling-dollar

2012 Approval of the thesis:

A DSGE-based assessment of nonlinear loan-to-Value policies:

Right-tailed unit root tests have proved promising for detecting exuberance in economic and financial activities. Like left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification used in parameter estimation. This paper aims to provide some empirical guidelines for the practical implementation of right-tailed unit root tests, focussing on the sup ADF test of Phillips, Wu and Yu (2011), which implements a right-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare

Economic growth across space

We employ novel tests to investigate WTI crude oil spot and futures prices along the yield curve for the presence of rational bubbles. The empirical methodology adopted is consistent with periods of multiple bubbles and permits the origination and end dates of each bubble to be identified. The results indicate that all but the spot and nearby series exhibit significant bubble periods ending in late 2008. Moreover, the dating algorithms establish that the bubbles in longer-dated contracts start much earlier and are longer lasting than the bubble in the 3- to 12-month contracts. This information from the oil futures yield curve suggests a period of disconnect between the spot and longer dated futures contracts from 2004 to late 2008 which coincides with a spell of increased institutional investment in oil futures.

A preliminary investigation of northern Ireland's housing market dynamics