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Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century

Author

Listed:
  • Clavijo-Cortes, Pedro
  • Campo-Robledo, Jacobo
  • Mendoza-Tolosa, Henry

Abstract

This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.

Suggested Citation

  • Clavijo-Cortes, Pedro & Campo-Robledo, Jacobo & Mendoza-Tolosa, Henry, 2019. "Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century," Working papers 27, Red Investigadores de Economía.
    • Handle: RePEc:rie:riecdt:27
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    Keywords

    Threshold effect; Unit root; Nonlinearities; Commodity prices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products

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