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Trends, Fluctuations, and Determinants of Commodity Prices

  • Luis Eduardo Arango


  • Fernando Arias


  • Luz Adriana Flórez


A threefold analysis of commodity prices is carried out to observe their long-runbehaviour, their short-run properties and the main determinants. According to theevidence, the Prebisch-Singer hypothesis does not seem to be a property of mostprices. The cycles of commodity prices are asymmetric but contrary to the case ofeconomic activity, the longer phase corresponds to slumps. Interest rates seem tomaintain a negative relationship with commodity prices.

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Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004734.

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Length: 30
Date of creation: 30 Jun 2008
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Handle: RePEc:col:000094:004734
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  24. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
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