Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices
Phoebe Koundouri () and
Nikolaos Kourogenis ()
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Antonios Antypas: Department of Banking and Financial Management, University of Piraeus
No 1305, DEOS Working Papers from Athens University of Economics and Business
In this paper we introduce a model for the description of natural resourcesÃƒï¿½Ã¯Â¿Â½ price paths, which in contrast to the existing literature, captures non-linear trends by means of a simple trigonometric function. We then use a set of model selection criteria to compare our trigonometric trend model with SladeÃƒï¿½Ã¯Â¿Â½s (1982) quadratic trend model, as well as a more general one, that nests both of these models. We estimate the models using price series of the main fuel and metal resources prices, analyzed by the relevant literature, and Ãƒï¿½Ã¯Â¿Â½nd that in most cases the trigonometric trend model is selected as the one better Ãƒï¿½Ã¯Â¿Â½tting the data. Our results have implications for the long-run projection of natural resources prices and, consequently, for the relevance of the Hotelling rule.
Keywords: Oscillatory trend; quadratic trend; Hotelling rule; natural resourcesÃ‚ï¿½prices; model selection. (search for similar items in EconPapers)
JEL-codes: E3 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-mac
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