Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century

Pedro Clavijo, Jacobo Campo-Robledo and Henry Mendoza-Tolosa
Authors registered in the RePEc Author Service: Jacobo Alberto Campo Robledo

Working papers from Red Investigadores de Economía

Abstract: This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.

Keywords: Threshold effect; Unit root; Nonlinearities; Commodity prices (search for similar items in EconPapers)
JEL-codes: C22 O13 Q02 (search for similar items in EconPapers)
Pages: 13
Date: 2019-12
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Journal Article: Threshold effects and unit roots of real commodity prices since the mid-nineteenth century (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:rie:riecdt:27

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