Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century
Authors
Clavijo-Cortes, Pedro
Campo-Robledo, Jacobo
Mendoza-Tolosa, Henry
Editor
Publication date
2019-12-27
Document language
eng
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Abstract
This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.
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Códigos JEL
C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes, Q02 - Commodity Markets, O13 - Agriculture • Natural Resources • Energy • Environment • Other Primary Products
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Keywords
Threshold effect, Unit root, Nonlinearities, Commodity prices
