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How Persistent Are Shocks to World Commodity Prices?

Paul Cashin (), Hong Liang and Christopher McDermott ()

No 1999/080, IMF Working Papers from International Monetary Fund

Abstract: This paper examines the persistence of shocks to world commodity prices, using monthly IMF data on primary commodities between 1957–98. We find that shocks to commodity prices are typically long–lasting and the variability of the persistence of price shocks is quite wide. The paper also discusses the implications of these findings for national and international schemes to stabilize earnings from commodity exports and finds that if price shocks are long–lived, then the cost of stabilization schemes will likely exceed any associated smoothing benefits.

Keywords: WP; commodity price; price shock; price series; nonfuel commodities index; Commodity prices; median-unbiased estimation; shock persistence; price stabilization; stabilization scheme; nonfuel commodity; export earnings; Agricultural commodities; Commodity price shocks; International commodity agreements; Africa (search for similar items in EconPapers)
Pages: 54
Date: 1999-06-01
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Journal Article: How Persistent Are Shocks to World Commodity Prices? (2000) Downloads
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