On the prevalence of trends in primary commodity prices

• 成果类型: Article; Proceedings Paper
• 署名作者: Kellard, N; Wohar, ME
• 署名单位: University of Nebraska System; University of Essex
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2004.12.004
• 发表日期: 2006
• 页码: 146-167
• 关键词: primary commodities; unit root tests; Structural Breaks

摘要

This paper applies new time series procedures to examine the Prebisch-Singer hypothesis of a secular deterioration in relative primary commodity prices. Specifically, we allow for (up to) two structural breaks in 24 price series, covering the 1900-98 period. For the majority of commodities, it is shown that the trend is not well represented by a single downward slope, but instead by a shifting trend that often changes sign over the sample period. Unlike some recent work that has also allowed for structural breaks, these results provide much less support for the Prebisch-Singer hypothesis. (c) 2005 Elsevier B.V. All rights reserved.