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Exploring stationarity and structural breaks in commodity prices by the panel data model

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  • Chao-Hsiang Yang
  • Chi-Tai Lin
  • Yu-Sheng Kao

Abstract

This article applies the panel unit root test of Carrion-i-Silvestre et al. (2005) to examine the relative prices of 24 nonfuel commodities over the period from 1900 to 2003. This test method allows for endogenous multiple structural breaks and the presence of cross-sectional dependence among commodities. The empirical results provided evidence of stationarity in relative prices of most commodities and supported the price theory in economics. In addition, the findings show that the locations of structural breaks coincided with the occurrences of some exogenous events over the past 100 years.

Suggested Citation

  • Chao-Hsiang Yang & Chi-Tai Lin & Yu-Sheng Kao, 2012. "Exploring stationarity and structural breaks in commodity prices by the panel data model," Applied Economics Letters, Taylor & Francis Journals, vol. 19(4), pages 353-361, March.
    • Handle: RePEc:taf:apeclt:v:19:y:2012:i:4:p:353-361
    DOI: 10.1080/13504851.2011.579052
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    Cited by:

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    2. Nazlioglu, Saban & Karul, Cagin, 2017. "A panel stationarity test with gradual structural shifts: Re-investigate the international commodity price shocks," Economic Modelling, Elsevier, vol. 61(C), pages 181-192.
    3. Yamada, Hiroshi & Yoon, Gawon, 2014. "When Grilli and Yang meet Prebisch and Singer: Piecewise linear trends in primary commodity prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 193-207.
    4. Murat ASLAN & Saban NAZLIOGLU, 2018. "Do International Relative Commodity Prices Support the Prebisch-Singer Hypothesis? A Nonlinear Panel Unit Root Testing," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 76-92, December.
    5. Presno, María José & Landajo, Manuel & Fernández, Paula, 2014. "Non-renewable resource prices: A robust evaluation from the stationarity perspective," Resource and Energy Economics, Elsevier, vol. 36(2), pages 394-416.
    6. Khan, Asad Ul Islam & Shahbaz, Muhammad & Napari, Ayuba, 2023. "Subsample stability, change detection and dynamics of oil and metal markets: A recursive approach," Resources Policy, Elsevier, vol. 83(C).

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