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Relative Commodity Prices and Cointegration

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  • von Hagen, Juergen

Abstract

The Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities is reassessed, on the basis of recently available time series data, for 1900-86. Special attention is given to adequate dynnamic modeling of price fluctuations. Primary and manufactured-goods prices are found to be cointegrated. The hypothesis of stationarity for the long-run relative-price movements cannot be rejected. The empirical evidence does not support the Prebisch-Singer hypothesis.

Suggested Citation

  • von Hagen, Juergen, 1989. "Relative Commodity Prices and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 497-503, October.
    • Handle: RePEc:bes:jnlbes:v:7:y:1989:i:4:p:497-503
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    Cited by:

    1. Ana Iregui & Jesús Otero, 2013. "The long-run behaviour of the terms of trade between primary commodities and manufactures: a panel data approach," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 12(1), pages 35-56, April.
    2. Di Iorio, Francesca & Fachin, Stefano, 2018. "The Prebish–Singer hypothesis in the post-colonial era: Evidence from panel cointegration," Economics Letters, Elsevier, vol. 166(C), pages 86-89.
    3. Stuermer, Martin & Schwerhoff, Gregor, 2013. "Technological change in resource extraction and endogenous growth," Bonn Econ Discussion Papers 12/2013, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. José Antonio Ocampo & María Angela Parra, 2004. "The commodity terms of trade and their strategic implications for development," International Trade 0403001, University Library of Munich, Germany.
    5. Kausik Chaudhuri, 2001. "Long-run prices of primary commodities and oil prices," Applied Economics, Taylor & Francis Journals, vol. 33(4), pages 531-538.
    6. Hany Fahmy, 2014. "Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(4), pages 577-600, November.
    7. Hany Fahmy, 2021. "A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis," JRFM, MDPI, vol. 14(7), pages 1-17, July.
    8. Gregor Schwerhoff & Martin Stuermer, 2015. "Non-renewable resources, extraction technology, and endogenous growth," Working Papers 1506, Federal Reserve Bank of Dallas.
    9. John T. Cuddington, 1992. "An empirical analysis of real commodity price trends: Aggregation, model selection and implications," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(2), pages 159-179.

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