Persistence in Commodity Prices
- Luis A. Gil-Alana 12
- Cecilia Font de Villanueva 2
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1
Universidad de Navarra
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2
Universidad Francisco de Vitoria
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ISSN: 1068-5502, 2327-8285
Year of publication: 2022
Volume: 47
Issue: 2
Pages: 262 - 277
Type: Article
More publications in: Journal of Agricultural and Resource Economics
Abstract
This paper deals with the analysis of world commodity prices by examining 15 categories of commodity prices using fractional integration and including thus fractional points. We use data corresponding to the 1960–2018 period obtained from the World Bank, and the results indicate high degrees of persistence in the majority of the series, especially when using parametric methods. However, mean reversion is obtained in many cases when using semiparametric approaches. The possibility of structural breaks is also considered, and our results confirm the high degree of persistence in the data, which seems to have increased across time.