Are Shocks to Commodity Prices Persistent?
AbstractThis paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP, 2010) test and the Liu and Narayan (LN, 2010) test that allow for two structural breaks in the data series. Using the NP test, we are able to reject the unit root null for iron ore and tin, while, using the GARCH-based unit root test of LN, we are able to reject the unit root null for five commodity prices; namely, iron ore, nickel, zinc, lead, and tin. Our findings, thus, suggest that only shocks to gold, silver, platinum, aluminum, and copper are persistent.
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Bibliographic InfoPaper provided by Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance in its series Economics Series with number 2010_02.
Date of creation: 03 May 2010
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Commodity Prices; Unit Root Test; GARCH.;
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- NEP-ALL-2010-05-15 (All new papers)
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