On the prevalence of trends in primary commodity prices |
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Authors: | Neil Kellard Mark E. Wohar |
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Affiliation: | 1. Department of Accounting, Finance and Management, University of Essex, Wivenhoe Park, Colchester, CO4 3SQ, United Kingdom;2. Department of Economics, University of Nebraska at Omaha, RH 512K, Omaha, NE 68182-0286, United States |
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Abstract: | This paper applies new time series procedures to examine the Prebisch–Singer hypothesis of a secular deterioration in relative primary commodity prices. Specifically, we allow for (up to) two structural breaks in 24 price series, covering the 1900–98 period. For the majority of commodities, it is shown that the trend is not well represented by a single downward slope, but instead by a shifting trend that often changes sign over the sample period. Unlike some recent work that has also allowed for structural breaks, these results provide much less support for the Prebisch–Singer hypothesis. |
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Keywords: | O13 C22 |
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