Booms and slumps in world commodity prices

• 成果类型: Article
• 署名作者: Cashin, P; McDermott, CJ; Scott, A
• 署名单位: International Monetary Fund; Reserve Bank of New Zealand; Bank of England
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/S0304-3878(02)00062-7
• 发表日期: 2002
• 页码: 277-296
• 关键词: commodity prices; cycles; duration; amplitude; duration dependence

摘要

This paper examines the duration and magnitude of cycles in world commodity prices. Cycles are a dominant feature of commodity prices, and dealing with the economic consequences of booms and slumps in prices continues to be one of the most challenging issues facing policymakers in commodity-exporting developing countries. We find that there is an asymmetry in commodity price cycles, as price slumps last longer than price booms. How far prices fall in a slump is found to be slightly larger than how far they tend to rebound in a subsequent boom. In addition, for most commodities, the probability of an end to a slump (boom) in prices is independent of the time already spent in the slump (boom). (C) 2002 Elsevier Science B.V. All rights reserved.