Are shocks to commodity prices persistent?
Paresh Narayan () and
Applied Energy, 2011, vol. 88, issue 1, 409-416
This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP)  test and the Liu and Narayan (LN)  test. Both tests allow for two structural breaks in the data series. Using the NP test, we are able to reject the unit root null for iron ore and tin. Using the GARCH-based unit root test of LN, we are able to reject the unit root null for five commodity prices (iron ore, nickel, zinc, lead, and tin). Our findings, thus, suggest that only shocks to gold, silver, platinum, aluminum, and copper are persistent.
Keywords: Commodity; prices; Unit; root; test; GARCH; Persistent; Transitory; Structural; break (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
Working Paper: Are shocks to commodity prices persistent? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:appene:v:88:y:2011:i:1:p:409-416
Ordering information: This journal article can be ordered from
http://www.elsevier. ... 405891/bibliographic
Access Statistics for this article
Applied Energy is currently edited by J. Yan
More articles in Applied Energy from Elsevier
Bibliographic data for series maintained by Haili He ().