Explosive price behaviour in commodity markets: 1900–2024

This study provides a long-run historical perspective on commodity price bubbles. We apply recursive right-tailed unit root tests, which address heteroskedasticity and multiplicity issues, to monthly data on 31 commodities spanning from 1900 to 2024 to identify and date-stamp speculative price bubbles. Our results show that price bubbles are not isolated events but recurring features of commodity markets, exhibiting distinct patterns across different historical periods. Notably, the first half of the 20th century was characterised by prolonged and frequent bubble episodes across numerous commodities, including base metals, precious metals, fossil fuels, and soft commodities. The post-1950 period, in contrast, saw shorter and less frequent bubbles. This historical shift suggests that market structures, regulatory developments, and increasing global financial integration may have influenced the nature of speculative activities in the commodity markets over time. However, despite these structural changes, we document that the drivers of commodity price bubbles, such as macroeconomic, financial, and policy/geopolitical uncertainty, have remained persistent across different historical eras.