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Booms and slumps in world commodity prices

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Author Info
Paul Cashin
C John McDermott
Alasdair Scott (Reserve Bank of New Zealand)

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Abstract

This paper examines the duration and magnitude of cycles in commodity prices. We find that for the majority of commodities, price slumps last longer than price booms. How far prices fall in a slump is found to be slightly larger than how far they tend to rebound in a subsequent boom. We also find little evidence of a consistent `shape' to cycles in commodity prices. For all commodities, the probability of an end to a slump in prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in prices is independent of the time already spent in the boom.

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File URL: http://www.rbnz.govt.nz/research/discusspapers/g99_8.pdf
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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number G99/8.

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Length: 24p
Date of creation: Dec 1999
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Handle: RePEc:nzb:nzbdps:1999/08

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Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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  1. Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-89, December. [Downloadable!] (restricted)
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  2. Watson, Mark W, 1994. "Business-Cycle Durations and Postwar Stabilization of the U.S. Economy," American Economic Review, American Economic Association, vol. 84(1), pages 24-46, March. [Downloadable!] (restricted)
  3. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
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  4. C John McDermott & Alasdair Scott, 1999. "Concordance in business cycles," Reserve Bank of New Zealand Discussion Paper Series G99/7, Reserve Bank of New Zealand. [Downloadable!]
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  5. Eduardo Borensztein & Mohsin S. Khan & Peter Wickham & Carmen Reinhart, 1994. "The Behavior of Non-Oil Commodity Prices," IMF Occasional Papers 112, International Monetary Fund.
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  6. Deaton, Angus & Miller, Ron, 1996. "International Commodity Prices, Macroeconomic Performance and Politics in Sub-Saharan Africa," Journal of African Economies, Oxford University Press, vol. 5(3), pages 99-191, October.
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  7. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 596-616, June. [Downloadable!] (restricted)
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  8. Don Harding & Adrian Pagan, 1999. "Dissecting the Cycle," Melbourne Institute Working Paper Series wp1999n13, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  9. King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April. [Downloadable!] (restricted)
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  10. Paul Cashin & Hong Liang & C. John McDermott, 1999. "How Persistent Are Shocks to World Commodity Prices?," IMF Working Papers 99/80, International Monetary Fund.
  11. Angus Deaton, 1999. "Commodity Prices and Growth in Africa," Journal of Economic Perspectives, American Economic Association, vol. 13(3), pages 23-40, Summer. [Downloadable!] (restricted)
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