Persistence in Commodity Prices

  1. Luis A. Gil-Alana 12
  2. Cecilia Font de Villanueva 2
  1. 1 Universidad de Navarra
    info

    Universidad de Navarra

    Pamplona, España

    ROR https://ror.org/02rxc7m23

  2. 2 Universidad Francisco de Vitoria
    info

    Universidad Francisco de Vitoria

    Pozuelo de Alarcón, España

    ROR https://ror.org/03ha64j07

Revista:
Journal of Agricultural and Resource Economics

ISSN: 1068-5502,  2327-8285

Año de publicación: 2022

Volumen: 47

Número: 2

Páginas: 262 - 277

Tipo: Artículo

DOI: 10.22004/AG.ECON.310529 WoS: WOS:000802930600003 GOOGLE SCHOLAR

Otras publicaciones en: Journal of Agricultural and Resource Economics

Resumen

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.