Speculative Bubbles in Regional Wheat Markets: Evidence from Türkiye

Despite its strategic role in the wheat trade, Türkiye’s wheat markets remain vulnerable to volatile price movements and speculative behavior. While significant progress has been made in the global literature on detecting speculative bubbles in agricultural commodities, there is a clear empirical gap in applying advanced econometric bubble detection methods to the wheat sector in Türkiye. This study aims to address this issue by offering region-specific insights into the speculative dynamics that influence wheat prices in major production centers in Türkiye. We applied the Supremum Augmented Dickey-Fuller (SADF) and Generalized Supremum Augmented Dickey-Fuller (GSADF) tests to monthly wheat price data from Ankara, Edirne, and Konya provinces to detect speculative price bubbles. After identifying bubble periods, we used probit and logit models to explore potential drivers, including the producer price index (UFE), input price index (IPI), real effective exchange rate (R), and the marketed quantity of wheat (LNQ). The empirical results revealed multiple statistically significant bubble episodes in Ankara and Edirne between 2020 and 2022. In contrast, Konya exhibited fewer, shorter-lived bubbles concentrated in 2023–2024. GSADF results confirmed that price exuberance was neither uniformly distributed nor persistent across provinces. Regression analyses showed that the UFE and IPI significantly increased the probability of bubble formation in Ankara and Konya. Meanwhile, R had a stabilizing effect in Ankara and Edirne. These results imply regional differences in speculative price behavior within Türkiye’s wheat market. The results highlight the importance of incorporating localized market structures and macroeconomic indicators into national agricultural price stabilization policies. Methodologically, this study contributes by integrating recursive right-tailed unit root tests with nonlinear probability models to better understand speculative forces in commodity markets. As a policy recommendation, the licensed warehousing system should be revised to enable physical and/or online transactions through regionally authorized procurement centers. Real-time monitoring and analysis of wheat exchange prices would allow timely intervention when price bubble signals emerge.