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Do international primary commodity prices exhibit asymmetric adjustment?

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  • Ghoshray, Atanu

Abstract

A number of developing countries are dependent on the export of a few commodities for a large share of their income. This dependency makes it important for these countries to understand the dynamic properties of commodity prices which are known to be characterised by booms and slumps. What is important for policy makers is whether this cyclical movement is asymmetric, and the nature of such asymmetry. This paper investigates whether asymmetric adjustment exists and can be explained. Our results find that there is some evidence of asymmetry in commodity prices and their effect on developing countries can have non-trivial effects.

Suggested Citation

  • Ghoshray, Atanu, 2019. "Do international primary commodity prices exhibit asymmetric adjustment?," Journal of Commodity Markets, Elsevier, vol. 14(C), pages 40-50.
    • Handle: RePEc:eee:jocoma:v:14:y:2019:i:c:p:40-50
    DOI: 10.1016/j.jcomm.2018.08.002
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    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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