The long term behavior of commodity prices
Pier Giorgio Ardeni () and
Brian Wright ()
No 358, Policy Research Working Paper Series from The World Bank
This report presents the short- and long-run behavior of primary commodity prices and the implications of movements in these prices for developing countries. Most earlier studies of the long-term trend in the net barter terms of trade between primary commodities and manufactures have suffered from statistical shortcomings. In this analysis, the authors use a fairly new statistical approach called structural time series, which they claim, overcomes those shortcomings. The tests that were run indicate that the deflated commodity price index is a stationary series with a unit root. The derived structural model outperforms ARIMA models in terms of fit and forecasting. The authors argue against the idea of"structural breaks"in the data. The results support the conclusion that the net barter terms of trade has declined an estimated 0.6 percent a year.
Keywords: Geographical Information Systems; Economic Theory&Research; Educational Technology and Distance Education; Econometrics; Environmental Economics&Policies (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www-wds.worldbank.org/external/default/WDSC ... d/PDF/multi_page.pdf (application/pdf)
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:wbk:wbrwps:358
Access Statistics for this paper
More papers in Policy Research Working Paper Series from The World Bank 1818 H Street, N.W., Washington, DC 20433. Contact information at EDIRC.
Bibliographic data for series maintained by Roula I. Yazigi ().