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The Prebish-Singer hypothesis in the post-colonial era: evidence from panel cointegration

Author

Listed:
  • Francesca Di Iorio

    (University of Naples Federico II)

  • Stefano Fachin

    ("Sapienza" University of Rome)

Abstract

We test the Prebish-Singer hypothesis that commodity prices tend to decline relatively to manufactured goods prices using a panel cointegration bootstrap test, for the period 1950-2011. We find partial support for the hypothesis, which appears to hold for Food and Non Food agricultural products but not for Metal goods.

Suggested Citation

  • Francesca Di Iorio & Stefano Fachin, 2018. "The Prebish-Singer hypothesis in the post-colonial era: evidence from panel cointegration," DSS Empirical Economics and Econometrics Working Papers Series 2018/1, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    • Handle: RePEc:sas:wpaper:20181
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    File URL: http://www.dss.uniroma1.it/RePec/sas/wpaper/20181_DIF.pdf
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    References listed on IDEAS

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    1. John T. Cuddington, 1992. "An empirical analysis of real commodity price trends: Aggregation, model selection and implications," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 7(2), pages 159-179.
    2. Arezki, Rabah & Hadri, Kaddour & Loungani, Prakash & Rao, Yao, 2014. "Testing the Prebisch–Singer hypothesis since 1650: Evidence from panel techniques that allow for multiple breaks," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 208-223.
    3. John Baffes & Xiaoli L. Etienne, 2016. "Analysing food price trends in the context of Engel’s Law and the Prebisch-Singer hypothesis," Oxford Economic Papers, Oxford University Press, vol. 68(3), pages 688-713.
    4. Arezki, Rabah & Hadri, Kaddour & Kurozumi, Eiji & Rao, Yao, 2012. "Testing the Prebish–Singer hypothesis using second-generation panel data stationarity tests with a break," Economics Letters, Elsevier, vol. 117(3), pages 814-816.
    5. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
    6. Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
    7. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
    8. von Hagen, Juergen, 1989. "Relative Commodity Prices and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 497-503, October.
    9. Peter Pedroni, 2001. "Purchasing Power Parity Tests in Cointegrated Panels," Department of Economics Working Papers 2001-01, Department of Economics, Williams College.
    10. Gilbert, Christopher L., 1996. "International Commodity Agreements: An obituary notice," World Development, Elsevier, vol. 24(1), pages 1-19, January.
    11. Rodrigo Mariscal & Andrew Powell, 2014. "Commodity Price Booms and Breaks: Detection, Magnitude and Implications for Developing Countries," Research Department Publications IDB-WP-444, Inter-American Development Bank, Research Department.
    12. Iorio, Francesca Di & Fachin, Stefano, 2014. "Savings and investments in the OECD, 1970–2007: A test of panel cointegration with regime changes," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 59-76.
    13. Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
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    Cited by:

    1. Jean-François Carpantier, 2021. "Commodity Prices in Empirical Research," Dynamic Modeling and Econometrics in Economics and Finance, in: Gilles Dufrénot & Takashi Matsuki (ed.), Recent Econometric Techniques for Macroeconomic and Financial Data, pages 199-227, Springer.
    2. Winkelried, Diego, 2021. "Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set," Journal of Commodity Markets, Elsevier, vol. 23(C).
    3. Kassouri, Yacouba & Altıntaş, Halil, 2020. "Commodity terms of trade shocks and real effective exchange rate dynamics in Africa's commodity-exporting countries," Resources Policy, Elsevier, vol. 68(C).

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    More about this item

    Keywords

    Prebish-Singer hypothesis; commodity prices; panel cointegration; bootstrap.;
    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
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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