Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set

Diego Winkelried

No 2017-013, Working Papers from Banco Central de Reserva del Perú

Abstract: The long-run behavior of real primary commodity prices, especially whether these series are trend stationary or contain a unit root, has been a topic of major debate in applied economics. In this paper, we perform a meta-analysis and combine the evidence of twelve representative studies on the subject, published in the last 25 years, in order to reach a unified conclusion about the presence of unit roots in these prices. The studies use different testing procedures, but share the common null hypothesis of a difference stationary process. Also, they use the individual price indices from the Grilli and Yang data set, arguably one the most popular source of long-term commodity price data. The combined evidence against unit roots in real primary commodity prices is strong: out of 24 cases, the unit root cannot be rejected in at most four. This implies that real primary commodity prices tend to be mean reverting and thus, to some degree, forecastable.

Keywords: Primary commodity prices; unit roots; Grilli and Yang data; meta-analysis (search for similar items in EconPapers)
JEL-codes: C12 C22 O13 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-agr
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Unit roots in real primary commodity prices? A meta-analysis of the Grilli and Yang data set (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2017-013

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