A reexamination of trends in primary commodity prices

• 成果类型: Article
• 署名作者: Ghoshray, Atanu
• 署名单位: University of Bath
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2010.04.001
• 发表日期: 2011
• 页码: 242-251
• 关键词: Primary commodity prices; Unit roots; structural change; Prebisch-Singer hypothesis

摘要

This paper conducts a reexamination of the Prebisch-Singer hypothesis by employing the unit root test proposed by Lee and Strazicich (2003) and Lee and Strazicich (2004) that allow for up to two structural breaks. Given the higher power of these tests compared to the Zivot and Andrews (1992) and Lumsdaine and Papell (1997) tests, rejection of the null can be considered as genuine evidence of stationarity. The main findings of this paper are that eleven out of twenty-four commodity prices are found to be difference stationary implying that shocks to these commodities tend to be permanent in nature. The remaining thirteen prices are found to exhibit trend stationary behavior with either one or two structural breaks. Most of the commodities that do not exhibit difference stationary behavior seem to contain no significant trends. There are fewer cases, in relation to past studies, of commodities that display negative trends thereby weakening the case for the Prebisch-Singer hypothesis. (c) 2010 Elsevier B.V. All rights reserved.