Super-cycles of commodity prices since the mid-ninteenth century
AbstractDecomposition of real commodity prices suggests four super-cycles during 1865-2009 ranging between 30-40 years with amplitudes 20-40 percent higher or lower than the long-run trend. Non-oil price super-cycles follow world GDP, indicating they are essentially demand-determined; causality runs in the opposite direction for oil prices. The mean of each super-cycle of non-oil commodities is generally lower than for the previous cycle, supporting the Prebisch-Singer hypothesis. Tropical agriculture experienced the strongest and steepest long-term downward trend through the twentieth century, followed by non-tropical agriculture and metals, while real oil prices experienced a long-term upward trend, interrupted temporarily during the twentieth century.
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Bibliographic InfoPaper provided by United Nations, Department of Economics and Social Affairs in its series Working Papers with number 110.
Length: 27 pages
Date of creation: Feb 2012
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Super-cycles; commodity prices; band-pass filters; Prebisch-Singer hypothesis;
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 &bull Diffusion Processes
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Global Commodity Market
This paper has been announced in the following NEP Reports:
- NEP-AGR-2012-05-22 (Agricultural Economics)
- NEP-ALL-2012-05-22 (All new papers)
- NEP-ENE-2012-05-22 (Energy Economics)
- NEP-HIS-2012-05-22 (Business, Economic & Financial History)
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