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Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices

Author

Listed:
  • Antonios Antypas

    (Department of Banking and Financial Management, University of Piraeus)

  • Phoebe Koundouri
  • Nikolaos Kourogenis

    (Department of Banking and Financial Management, University of Piraeus.)

Abstract

In this paper we introduce a model for the description of natural resources�� price paths, which in contrast to the existing literature, captures non-linear trends by means of a simple trigonometric function. We then use a set of model selection criteria to compare our trigonometric trend model with Slade��s (1982) quadratic trend model, as well as a more general one, that nests both of these models. We estimate the models using price series of the main fuel and metal resources prices, analyzed by the relevant literature, and ��nd that in most cases the trigonometric trend model is selected as the one better ��tting the data. Our results have implications for the long-run projection of natural resources prices and, consequently, for the relevance of the Hotelling rule.

Suggested Citation

  • Antonios Antypas & Phoebe Koundouri & Nikolaos Kourogenis, 2013. "Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices," DEOS Working Papers 1305, Athens University of Economics and Business.
    • Handle: RePEc:aue:wpaper:1305
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    References listed on IDEAS

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    More about this item

    Keywords

    Oscillatory trend; quadratic trend; Hotelling rule; natural resources�prices; model selection.;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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