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Piecewise linear trends and cycles in primary commodity prices

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  • Winkelried, Diego

    (Universidad del Pacífico)

Abstract

We extend the methodology put forward in Yamada and Yoon (2014, Journal of International Money and Finance, 42(C), 193-207) to analyze the trend and cyclical behavior of relative primary commodity prices. These authors propose the use of the so-called l1-filter that renders piecewise linear trends of the underlying data. Our focus is on the calibration of such filter and its implications for the empirical analysis of primary commodity prices, especially the interpretation given to the resulting trend. We also illustrate how suitably calibrated filters may be used to compute piecewise linear (super) cycles, whose turning points are easily to identify.

Suggested Citation

  • Winkelried, Diego, 2015. "Piecewise linear trends and cycles in primary commodity prices," Working Papers 2015-012, Banco Central de Reserva del Perú.
  • Handle: RePEc:rbp:wpaper:2015-012
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Commodity prices; piecewise linear trends; Hodrick-Prescott filter; super cycles;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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