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Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis

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  • Angelov, Nikolay

    (Department of Economics)

Abstract

This paper investigates the time-series properties of the price of iron ore. The focus is on testing a unit-root null hypothesis against a trend-stationary alternative, with a structural break allowed under both hypotheses. We consider unit-root tests with or without structural breaks, applied on historical prices of five different qualities of Swedish and Brazilian iron ore. New and more accurate critical values for the exogenous-break tests are calculated, and several of the asymptotic tests are accompanied by their bootstrap counterparts due to the limited sample sizes. Using unit-root tests allowing for an exogenous structural break in 1973, the null hypothesis of a unit root is rejected for three of the five series. The sign and nature of the estimated breaks correspond to the state of the iron and steel industry during the first half of the 1970s. The bootstrap tests give results close to those from the asymptotic ones.

Suggested Citation

  • Angelov, Nikolay, 2006. "Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis," Working Paper Series 2006:11, Uppsala University, Department of Economics.
    • Handle: RePEc:hhs:uunewp:2006_011
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    Cited by:

    1. Per Engstrom & Bertil Holmlund, 2009. "Tax evasion and self-employment in a high-tax country: evidence from Sweden," Applied Economics, Taylor & Francis Journals, vol. 41(19), pages 2419-2430.

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    More about this item

    Keywords

    iron-ore prices; structural break; unit-root test; bootstrap;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q30 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - General

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