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Trends and Persistence in Primary Commodity Prices

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  • Kellard, Neil

    (University of Essex)

  • Mark E Wohar

Abstract

This paper applies new time-series procedures to examine the Prebisch-Singer hypothesis of a secular deterioration in relative primary commodity prices and the nature of their persistence. Employing a dataset of 24 relative commodity prices for the 1900-98 period, the pervasiveness of the Prebisch-Singer hypothesis is shown to be a function of a priori selected decision criteria, providing an explanation of conflicting findings in the recent literature. Moreover, much less persistence is found in the relative commodity prices than previously reported, since 23 out of the 24 commodities can be classified as trend-stationary. This implies there may well be more room for stabilization and price support mechanisms than previously advocated.

Suggested Citation

  • Kellard, Neil & Mark E Wohar, 2003. "Trends and Persistence in Primary Commodity Prices," Royal Economic Society Annual Conference 2003 118, Royal Economic Society.
  • Handle: RePEc:ecj:ac2003:118
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    References listed on IDEAS

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    Cited by:

    1. Daubanes, Julien, 2009. "Taxation of Oil Products and GDP Dynamics of Oil-Rich Countries," TSE Working Papers 09-012, Toulouse School of Economics (TSE).

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    More about this item

    Keywords

    primary commodities; unit root tests; structural breaks;
    All these keywords.

    JEL classification:

    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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