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Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals

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  • Enders, Walter
  • Holt, Matthew T.

Abstract

This 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 Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 31461.

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Date of creation: 12 Jun 2011
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Handle: RePEc:pra:mprapa:31461

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Keywords: Commodity Prices; Fundamentals; Nonlinear Trends; Shifting--Mean Autoregression;

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