How Persistent are Shocks to World Commodity Prices?

54 Pages Posted: 13 Feb 2006

See all articles by Paul Anthony Cashin

Paul Anthony Cashin

International Monetary Fund (IMF)

Hong Liang

International Monetary Fund (IMF)

C. John McDermott

Reserve Bank of New Zealand

Date Written: June 1999

Abstract

This paper examines the persistence of shocks to world commodity prices, using monthly IMF data on primary commodities between 1957-98. We find that shocks to commodity prices are typically long-lasting and the variability of the persistence of price shocks is quite wide. The paper also discusses the implications of these findings for national and international schemes to stabilize earnings from commodity exports and finds that if price shocks are long-lived, then the cost of stabilization schemes will likely exceed any associated smoothing benefits.

Keywords: Commodity prices, median-unbiased estimation, shock persistence, price stabilization

JEL Classification: C22, O13, O19, Q11, Q17

Suggested Citation

Cashin, Paul Anthony and Liang, Hong and McDermott, C. John, How Persistent are Shocks to World Commodity Prices? (June 1999). IMF Working Paper No. 99/80, Available at SSRN: https://ssrn.com/abstract=880607

Paul Anthony Cashin (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

Hong Liang

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States

C. John McDermott

Reserve Bank of New Zealand ( email )

2 The Terrace
P.O. Box 2498
Wellington, 6011
New Zealand

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