Sharp Breaks or Smooth Shifts? An Investigation of the Evolution of Primary Commodity Prices

15 Pages Posted: 15 Apr 2020

See all articles by Walter Enders

Walter Enders

University of Alabama - Department of Economics, Finance and Legal Studies

Date Written: April 2012

Abstract

This paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the shifting means for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify structural changes in commodity prices, we estimate shifting–mean autoregressions by using: the Bai and Perron (1998) procedure for determining structural breaks; low frequency Fourier functions; and a procedure that specifies shifts to be smooth logistic functions of time. We find that the pattern in the timing of shifts is suggestive of the causal factors underlying the recent boom.

Keywords: nonlinear trends, shifting–mean autoregression, unit root tests

Suggested Citation

Enders, Walter, Sharp Breaks or Smooth Shifts? An Investigation of the Evolution of Primary Commodity Prices (April 2012). American Journal of Agricultural Economics, Vol. 94, Issue 3, pp. 659-673, 2012, Available at SSRN: https://ssrn.com/abstract=3572214 or http://dx.doi.org/10.1093/ajae/aar162

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