Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

Authors

  • Pedro Clavijo
  • Jacobo Campo
  • Henry Mendoza

DOI:

https://doi.org/10.17811/ebl.9.4.2020.342-349

Abstract

This paper investigates whether a unit root process and nonlinearities can characterize real commodity prices for six major primary goods. 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. The finding of nonlinearities explains why the deterioration of the terms of trade has been episodic. Additionally, we found there is no statistical evidence supporting the Prebisch-Singer hypothesis for agricultural, mineral, non-tropical, and non-oil goods.

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Published

23-12-2020

How to Cite

Clavijo, P., Campo, J., & Mendoza, H. (2020). Threshold effects and unit roots of real commodity prices since the mid-nineteenth century. Economics and Business Letters, 9(4), 342–349. https://doi.org/10.17811/ebl.9.4.2020.342-349

Issue

Vol. 9 No. 4 (2020): December - Special Issue Selected papers from CIO 2019 / 13th International Conference on Industrial Engineering and Industrial Management (Guest Editor: David de la Fuente)

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Articles

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