Structural Breaks And Long-Run Trends In Commodity Prices
AbstractThe purpose of this paper is twofold: first, it tests the Prebisch-Singer hypothesis of a secular deteriorating trend, and, second, presents a time-series analysis of the dynamics of commodity prices. Using annual data for the 1900-92 period and employing recently developed econometric techniques, we show that 17 of the 24 commodity prices studied present negative long-run trends, three are trendless and four have positive trends. Contrary to previous findings, this evidence suggests that although the Prebisch-Singer hypothesis is not a universal phenomenon, it is the case of most commodities. Moreover, the estimated long-run persistence of commodity price shocks challenges the conventional policy recommendations to overcome the negative effects of price instability on economic performance. In several cases, the estimated persistence is much lower than previous empirical results, suggesting that commodity stabilization funds can be successful in smoothing export revenues. © 1997 John Wiley & Sons, Ltd.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of International Development.
Volume (Year): 9 (1997)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www3.interscience.wiley.com/journal/5102/home
Other versions of this item:
- Leon, Javier & Soto, Raimundo, 1995. "Structural breaks and long-run trends in commodity prices," Policy Research Working Paper Series 1406, The World Bank.
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- L14 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Transactional Relationships; Contracts and Reputation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Reinhart, Carmen & Wickham, Peter, 1994.
"Commodity Prices: Cyclical Weakness or Secular Decline?,"
8173, University Library of Munich, Germany.
- Carmen M. Reinhart & Peter Wickham, 1994. "Commodity Prices: Cyclical Weakness or Secular Decline?," IMF Staff Papers, Palgrave Macmillan, vol. 41(2), pages 175-213, June.
- Peter Wickham & Carmen Reinhart, 1994. "Commodity Prices," IMF Working Papers 94/7, International Monetary Fund.
- Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992.
"Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 10(3), pages 271-87, July.
- Anindya Banerjee & Robin L. Lumsdaine & James H. Stock, 1990. "Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence," NBER Working Papers 3510, National Bureau of Economic Research, Inc.
- Danny Quah, 1991.
"The Relative Importance of Permanent and Transitory Components: Identi- fication and Some Theoretical Bounds,"
NBER Technical Working Papers
0106, National Bureau of Economic Research, Inc.
- Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-18, January.
- Danny Quah, 1988. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Working papers 498, Massachusetts Institute of Technology (MIT), Department of Economics.
- Danny Quah, 1991. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," FMG Discussion Papers dp126, Financial Markets Group.
- Andrew W. Lo & Craig A. MacKinlay, .
"The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,"
Rodney L. White Center for Financial Research Working Papers
28-87, Wharton School Rodney L. White Center for Financial Research.
- Lo, Andrew W. & MacKinlay, A. Craig, 1989. "The size and power of the variance ratio test in finite samples : A Monte Carlo investigation," Journal of Econometrics, Elsevier, vol. 40(2), pages 203-238, February.
- Andrew W. Lo & A. Craig MacKinlay, 1988. "The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation," NBER Technical Working Papers 0066, National Bureau of Economic Research, Inc.
- Perron, Pierre, 1989.
"The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,"
Econometric Society, vol. 57(6), pages 1361-1401, November.
- Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
- Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
- Chow, K. Victor & Denning, Karen C., 1993.
"A simple multiple variance ratio test,"
Journal of Econometrics,
Elsevier, vol. 58(3), pages 385-401, August.
- Tom Doan, . "CHOWDENNING: RATS procedure to perform Chow-Denning multiple variance ratio test," Statistical Software Components RTS00035, Boston College Department of Economics.
- Rudebusch, Glenn D, 1993.
"The Uncertain Unit Root in Real GNP,"
American Economic Review,
American Economic Association, vol. 83(1), pages 264-72, March.
- Vial, Joaquin, 1992. "Copper consumption in the USA: Main determinants and structural changes," Resources Policy, Elsevier, vol. 18(2), pages 107-121, June.
- D. Sapsford & P. Sarkar & H. W. Singer, 1992. "The prebisch‐singer terms of trade controversy revisited," Journal of International Development, John Wiley & Sons, Ltd., vol. 4(3), pages 315-332, 05.
- Cuddington, John T., 1992. "Long-run trends in 26 primary commodity prices : A disaggregated look at the Prebisch-Singer hypothesis," Journal of Development Economics, Elsevier, vol. 39(2), pages 207-227, October.
- Behrman, Jere R., 1987. "Commodity price instability and economic goal attainment in developing countries," World Development, Elsevier, vol. 15(5), pages 559-573, May.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.