Speculative bubbles in agricultural prices

• We analyze whether US-corn, soybean and wheat prices are affected by speculative bubbles.
• Fundamental values are derived from real oil prices and real exchange rates.
• Based on the MTAR test, we detect speculative bubbles in wheat prices.
• Speculative bubbles in wheat prices are present during the last decade.

We use the momentum threshold autoregressive (MTAR) approach to test for speculative bubbles in US corn, soybean and wheat prices. To approximate fundamental values of these agricultural commodities, we use real crude oil prices and real exchange rates. Our empirical results support the hypothesis that speculative bubbles are present in wheat prices between 2003 and 2013. For corn and soybeans, however, our empirical results are inconclusive.