Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals
AbstractThis paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the fundamentals for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify changing commodity price fundamentals we estimate shifting–mean autoregressions by using: the Bai and Perron (1998) procedure for estimating structural breaks; a SlowShift procedure that specifies intercepts to be nonlinear, potentially smooth functions of time; and low frequency Fourier functions. We find that the pattern in the timing of the various shifts is suggestive of the causal fundamentals underlying the recent boom.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 31461.
Date of creation: 12 Jun 2011
Date of revision:
Commodity Prices; Fundamentals; Nonlinear Trends; Shifting--Mean Autoregression;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- Q2 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-18 (All new papers)
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