Piecewise linear trends and cycles in primary commodity prices

Diego Winkelried

Journal of International Money and Finance, 2016, vol. 64, issue C, 196-213

Abstract: We extend the methodology put forward in Yamada and Yoon (2014, Journal of International Money and Finance, 42(C), 193–207) to analyze the trend and cyclical behavior of relative primary commodity prices. These authors propose the use of the so-called ℓ1-filter that renders piecewise linear trends of the underlying data. Our focus on the calibration of such filter and its implications for the empirical analysis of primary commodity prices, especially the interpretation given to the resulting trend. We also illustrate how suitably calibrated filters may be used to compute piecewise linear (super) cycles, whose turning points are easy to identify.

Keywords: Commodity prices; Piecewise linear trends; Hodrick–Prescott filter; Super cycles (search for similar items in EconPapers)
JEL-codes: C22 E30 O13 Q02 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Piecewise linear trends and cycles in primary commodity prices (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:64:y:2016:i:c:p:196-213

DOI: 10.1016/j.jimonfin.2016.01.006

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