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Sharp Breaks or Smooth Shifts? an Investigation of the Evolution of Primary Commodity Prices

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  • Walter Enders
  • Matthew T. Holt

Abstract

This paper explores the behavior of real commodity prices over a 50--year period. Attention is given to how the shifting means for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify structural changes in commodity prices, we estimate shifting--mean autoregressions by using: the Bai and Perron (1998) procedure for determining structural breaks; low frequency Fourier functions; and a procedure that specifies shifts to be smooth logistic functions of time. We find that the pattern in the timing of shifts is suggestive of the causal factors underlying the recent boom. Copyright 2012, Oxford University Press.

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  • Walter Enders & Matthew T. Holt, 2012. "Sharp Breaks or Smooth Shifts? an Investigation of the Evolution of Primary Commodity Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(3), pages 659-673.
  • Handle: RePEc:oup:ajagec:v:94:y:2012:i:3:p:659-673
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    Cited by:

    1. de Gorter, Harry & Rausser, Gordon C., 2013. "US Policy Contributions to Agricultural Commodity Price Fluctuations, 2006-12," WIDER Working Paper Series 033, World Institute for Development Economic Research (UNU-WIDER).
    2. Shu-Ling Chen & John D. Jackson & Hyeongwoo Kim & Pramesti Resiandini, 2014. "What Drives Commodity Prices?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, pages 1455-1468.
    3. Mohsen Bahmani-Oskooee & Tsangyao Chang & Tsung-Hsien Chen & Han-Wen Tzeng, 2017. "Revisiting purchasing power parity in Eastern European countries: quantile unit root tests," Empirical Economics, Springer, pages 463-483.
    4. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
    5. repec:eee:touman:v:63:y:2017:i:c:p:3-9 is not listed on IDEAS
    6. Bruce A. Babcock & Marcelo Moreira & Yixing Peng, 2013. "Biofuel Taxes, Subsidies, and Mandates: Impacts on US and Brazilian Markets," Food and Agricultural Policy Research Institute (FAPRI) Publications 13-sr108, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
    7. Pinstrup-Andersen, Per (ed.), 2016. "Food Price Policy in an Era of Market Instability: A Political Economy Analysis," OUP Catalogue, Oxford University Press, number 9780198788836.
    8. Teterin, Pavel & Brooks, Robert & Enders, Walter, 2016. "Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets," Journal of Empirical Finance, Elsevier, pages 22-36.
    9. repec:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1165-6 is not listed on IDEAS
    10. Philip Abbott, 2013. "Biofuels, Binding Constraints and Agricultural Commodity Price Volatility," NBER Working Papers 18873, National Bureau of Economic Research, Inc.
    11. DeGorter, Harry & Just, David & Mugera, Harriet Kasidi, 2013. "Structural Changes in Commodity Prices: The Role of Policies," 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 156255, German Association of Agricultural Economists (GEWISOLA).
    12. Ozcan, Burcu & Ozturk, Ilhan, 2016. "A new approach to energy consumption per capita stationarity: Evidence from OECD countries," Renewable and Sustainable Energy Reviews, Elsevier, pages 332-344.
    13. Annastiina Silvennoinen & Susan Thorp, 2015. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," NCER Working Paper Series 109, National Centre for Econometric Research.
    14. BAHMANI-OSKOOEE, Mohsen & Wu, Tsung-Pao, 2017. "Purchasing Power Parity in the 34 OECD Countries: Evidence from Quantile-Based Unit Root Tests with both Smooth and Sharp Breaks," MPRA Paper 81820, University Library of Munich, Germany, revised 07 Feb 2017.
    15. Elie Bouri & Tsangyao Chang & Rangan Gupta, 2016. "Testing the Efficiency of the Wine Market using Unit Root Tests with Sharp and Smooth Breaks," Working Papers 201664, University of Pretoria, Department of Economics.
    16. Annastiina Silvennoinen & Susan Thorp, 2016. "Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(6), pages 522-544, June.
    17. Nicola, Francesca de & De Pace, Pierangelo & Hernandez, Manuel A., 2016. "Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment," Energy Economics, Elsevier, pages 28-41.
    18. Andaleeb Rahman, 2012. "Characterizing food prices in India," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-022, Indira Gandhi Institute of Development Research, Mumbai, India.
    19. Oglend, Atle & Selland Kleppe, Tore, 2016. "How regular are directional movements in commodity and asset prices? A Wald test," Journal of Empirical Finance, Elsevier, pages 290-306.
    20. Ubilava, David, 2016. "The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability," Working Papers 2016-10, University of Sydney, School of Economics.
    21. Philip Abbott, 2014. "Biofuels, Binding Constraints, and Agricultural Commodity Price Volatility," NBER Chapters,in: The Economics of Food Price Volatility, pages 91-131 National Bureau of Economic Research, Inc.
    22. Christophe André & Tsangyao Chang & Luis A. Gil-Alana & Rangan Gupta, 2017. "Current Account Sustainability in G7 and BRICS: Evidence from a Long Memory Model with Structural Breaks," Working Papers 201705, University of Pretoria, Department of Economics.
    23. Ruiqing Miao & David A. Hennessy & Hongli Feng, 2013. "Native Grassland Conversion: the Roles of Risk Intervention and Switching Costs," Center for Agricultural and Rural Development (CARD) Publications 13-wp536, Center for Agricultural and Rural Development (CARD) at Iowa State University.

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