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Sharp Breaks or Smooth Shifts? an Investigation of the Evolution of Primary Commodity Prices

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  • Walter Enders
  • Matthew T. Holt

Abstract

This paper explores the behavior of real commodity prices over a 50--year period. Attention is given to how the shifting means for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify structural changes in commodity prices, we estimate shifting--mean autoregressions by using: the Bai and Perron (1998) procedure for determining structural breaks; low frequency Fourier functions; and a procedure that specifies shifts to be smooth logistic functions of time. We find that the pattern in the timing of shifts is suggestive of the causal factors underlying the recent boom. Copyright 2012, Oxford University Press.

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Bibliographic Info

Article provided by Agricultural and Applied Economics Association in its journal American Journal of Agricultural Economics.

Volume (Year): 94 (2012)
Issue (Month): 3 ()
Pages: 659-673

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Handle: RePEc:oup:ajagec:v:94:y:2012:i:3:p:659-673

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Cited by:
  1. DeGorter, Harry & Just, David & Mugera, Harriet Kasidi, 2013. "Structural Changes in Commodity Prices: The Role of Policies," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156255, German Association of Agricultural Economists (GEWISOLA).
  2. Rausser, Gordon C. & de Gorter, Harry, 2013. "US policy contributions to agricultural commodity price fluctuations, 2006.12," Working Paper Series UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER).
  3. Chen, Shu-Ling & Jackson, John D. & Kim, Hyeongwoo & Resiandini, Pramesti, 2012. "What Drives Commodity Prices?," MPRA Paper 40711, University Library of Munich, Germany.
  4. Philip Abbott, 2013. "Biofuels, Binding Constraints and Agricultural Commodity Price Volatility," NBER Chapters, in: The Economics of Food Price Volatility National Bureau of Economic Research, Inc.
  5. Ruiqing Miao & David A. Hennessy & Hongli Feng, 2013. "Native Grassland Conversion: the Roles of Risk Intervention and Switching Costs," Center for Agricultural and Rural Development (CARD) Publications 13-wp536, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  6. Philip Abbott, 2013. "Biofuels, Binding Constraints and Agricultural Commodity Price Volatility," NBER Working Papers 18873, National Bureau of Economic Research, Inc.
  7. Andaleeb Rahman, 2012. "Characterizing food prices in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-022, Indira Gandhi Institute of Development Research, Mumbai, India.

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