Identifying trends and breaks commodity prices

D. Badillo, W.C. Labys and Yangru Wu

The European Journal of Finance, 1999, vol. 5, issue 4, 315-330

Abstract: Recent studies have investigated the possibility of shifting trends and breaks in international commodity price series. Many of these studies have been concerned with individual commodity ruptures, such as in the case of crude oil prices, while others have considered commodity price breaks in general. However, most of these studies have employed exogenous price break tests. This study performs endogenous price break tests. Furthermore, it specifies the differences in break point identification that result from employing the endogenous as compared to the exogenous break tests. Policy implications are drawn in the conclusions.

Date: 1999
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DOI: 10.1080/14664364.1999.12468280

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