Booms and Slumps in World Commodity Prices

25 Pages Posted: 15 Feb 2006

See all articles by Paul Anthony Cashin

Paul Anthony Cashin

International Monetary Fund (IMF)

C. John McDermott

Reserve Bank of New Zealand

Alasdair M. Scott

International Monetary Fund (IMF)

Multiple version iconThere are 2 versions of this paper

Date Written: November 1999

Abstract

This paper examines the duration and magnitude of commodity-price cycles. It finds that for most 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 rebound in a subsequent boom. There is little evidence of a consistent `shape` to commodity-price cycles. 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.

Keywords: Commodity prices booms and slumps cycles duration amplitude

JEL Classification: E32 Q11

Suggested Citation

Cashin, Paul Anthony and McDermott, C. John and Scott, Alasdair M., Booms and Slumps in World Commodity Prices (November 1999). IMF Working Paper, Vol. , pp. 1-25, 1999. Available at SSRN: https://ssrn.com/abstract=880682

Paul Anthony Cashin (Contact Author)

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

Alasdair M. Scott

International Monetary Fund (IMF) ( email )

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

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