Unit Roots, Flexible Trends and the Prebisch-Singer Hypothesis

Diego Winkelried

No 2015-007, Working Papers from Banco Central de Reserva del Perú

Abstract: This paper studies the dynamic properties of relative commodity prices, especially the Presbisch-Singer hypothesis on the secular decline in these series, using a new family of unit root tests that is based on the Fourier approximation to the underlying trend in the data. The approximation controls for low-frequency variations such as structural breaks, or such as the long swings induced by hypothesized super cycles in the data. Relative to the extant literature, we find considerably more evidence in favor of trend stationarity in relative commodity prices, and relatively limited support for the Prebisch-Singer hypothesis.

Keywords: Primary commodity prices; unit roots; long swings; super cycles. (search for similar items in EconPapers)
JEL-codes: C22 O13 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-agr and nep-opm
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Related works:
Journal Article: Unit roots, flexible trends, and the Prebisch-Singer hypothesis (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2015-007

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