Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century
| dc.audience | Researchers | eng |
| dc.audience | Students | eng |
| dc.audience | Teachers | eng |
| dc.audience | Food systems | eng |
| dc.contributor.institucion | Universidad Católica de Colombia | spa |
| dc.coverage.ciudad | Bogotá | spa |
| dc.creator | Clavijo-Cortes, Pedro | spa |
| dc.creator | Campo-Robledo, Jacobo | spa |
| dc.creator | Mendoza-Tolosa, Henry | spa |
| dc.date.accessioned | 2019-12-27T13:58:23Z | spa |
| dc.date.available | 2019-12-27T13:58:23Z | spa |
| dc.date.created | 2019-12-27 | spa |
| dc.description.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. | eng |
| dc.format.extent | 13 páginas | spa |
| dc.format.mimetype | eng | |
| dc.identifier.uri | https://repositorio.redinvestigadores.org/handle/Riec/46 | spa |
| dc.language.iso | eng | eng |
| dc.relation.ispartof | Documentos de Trabajo | spa |
| dc.relation.number | No. 27 | spa |
| dc.relation.repec | https://ideas.repec.org/p/rie/riecdt/27.html | spa |
| dc.rights.accessRights | Open Access | eng |
| dc.rights.cc | Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 | spa |
| dc.rights.spa | Acceso abierto | spa |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/ | eng |
| dc.subject.jel | C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes | eng |
| dc.subject.jel | Q02 - Commodity Markets | eng |
| dc.subject.jel | O13 - Agriculture • Natural Resources • Energy • Environment • Other Primary Products | eng |
| dc.subject.keyword | Threshold effect | eng |
| dc.subject.keyword | Unit root | eng |
| dc.subject.keyword | Nonlinearities | eng |
| dc.subject.keyword | Commodity prices | eng |
| dc.subject.lemb | Precios de los bienes básicos | spa |
| dc.subject.lemb | Productos básicos -- Precios internacionales | spa |
| dc.title | Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century | eng |
| dc.type | Working paper | eng |
| dc.type.hasversion | Published Version | eng |
| dc.type.spa | Documentos de Trabajo | spa |
