Booms and Slumps in World Commodity Prices

Reserve Bank of New Zealand Discussion Paper No. G99/8

24 Pages Posted: 30 Dec 2003

See all articles by C. John McDermott

C. John McDermott

National Bank of New Zealand

Paul Anthony Cashin

International Monetary Fund (IMF)

Alasdair M. Scott

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: December 1999

Abstract

This paper examines the duration and magnitude of cycles in commodity prices. We find that for the majority of commodities, 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. We also find little evidence of a consistent 'shape' to cycles in commodity prices. For all commodities, the probability of an end to a slump in prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in prices is independent of the time already spent in the boom.

JEL Classification: E32, Q11

Suggested Citation

McDermott, C. John and Cashin, Paul Anthony and Scott, Alasdair M., Booms and Slumps in World Commodity Prices (December 1999). Reserve Bank of New Zealand Discussion Paper No. G99/8. Available at SSRN: https://ssrn.com/abstract=321382 or http://dx.doi.org/10.2139/ssrn.321382

C. John McDermott (Contact Author)

National Bank of New Zealand ( email )

P.O. Box 540
Wellington
New Zealand

Paul Anthony Cashin

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Alasdair M. Scott

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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