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Unit Roots, Flexible Trends and the Prebisch-Singer Hypothesis

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  • Winkelried, Diego

    (Universidad del Pacífico)

Abstract

This paper studies the dynamic properties of relative commodity prices, especially the Presbisch-Singer hypothesis on the secular decline in these series, using a new family of unit root tests that is based on the Fourier approximation to the underlying trend in the data. The approximation controls for low-frequency variations such as structural breaks, or such as the long swings induced by hypothesized super cycles in the data. Relative to the extant literature, we find considerably more evidence in favor of trend stationarity in relative commodity prices, and relatively limited support for the Prebisch-Singer hypothesis.

Suggested Citation

  • Winkelried, Diego, 2015. "Unit Roots, Flexible Trends and the Prebisch-Singer Hypothesis," Working Papers 2015-007, Banco Central de Reserva del Perú.
    • Handle: RePEc:rbp:wpaper:2015-007
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    3. Cunado, Juncal & Gil-Alana, Luis A. & Gupta, Rangan, 2019. "Persistence in trends and cycles of gold and silver prices: Evidence from historical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 345-354.
    4. Awaworyi-Churchill, Sefa & Inekwe, John & Ivanovski, Kris & Smyth, Russell, 2022. "Breaks, trends and correlations in commodity prices in the very long-run," Energy Economics, Elsevier, vol. 108(C).
    5. Winkelried, Diego, 2021. "Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set," Journal of Commodity Markets, Elsevier, vol. 23(C).
    6. Gil-Alana, Luis Alberiko & Poza, Carlos, 2024. "Volatility persistence in metal prices," Resources Policy, Elsevier, vol. 88(C).
    7. Emanuele Russo & Neil Foster-McGregor, 2022. "Characterizing growth instability: new evidence on unit roots and structural breaks in countries’ long run trajectories," Journal of Evolutionary Economics, Springer, vol. 32(2), pages 713-756, April.

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    More about this item

    Keywords

    Primary commodity prices; unit roots; long swings; super cycles.;
    All these keywords.

    JEL classification:

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

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