THE NET BARTER TERMS OF TRADE: A SMOOTH TRANSITION APPROACH

Anna Persson and Timo Teräsvirta
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Anna Persson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

No 335, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper analyzes the net barter terms of trade measured by the primary commodity price index relative to the index of unit values of export of manufactures from industrial countries. The starting-point is that the series is stationary but possibly nonlinear. Statistical tests indicate that the logarithmed series is nonlinear, and we estimate a Smooth Transition Autoregressive model to describe the process. The dynamics of the model are illustrated by use of parametrically estimated local spectra and generalized impulse response functions. Our model encompasses models from several previous studies, and our conclusion is that the starting-point of the empirical analysis very much determines the outcome.

Keywords: Development economics; encompassing; generalized impulse response function; local spectrum; nonlinearity; raw material prices; smooth transition autoregression. (search for similar items in EconPapers)
JEL-codes: C22 C52 O13 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1999-09-23
New Economics Papers: this item is included in nep-dev
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Published in International Journal of Finance and Economics, 2003, pages 81-97.

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Journal Article: The net barter terms of trade: A smooth transition approach (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0335

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