An empirical analysis of real commodity price trends: Aggregation, model selection and implications
This paper re-examines the empirical validity of the Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities in terms of manufacturing goods. The empirical findings based on arithmetic and geometric commodity price indices are compared. When Grilli-Yang's arithmetic mean index is employed, the findings regarding commodity price trends are inconclusive. A new geometric mean index, in contrast, yields results that are robust.
Box, G. E. P., and G. M. Jenkins (1970). Time Series Analysis, Forecasting and Control, San Francisco, Holden Day.
Cuddington, J. T. (1990). "Long-Run Trends in 26 Primary Commodity Prices: A Disaggregated Look at the Prebisch-Singer Hypothesis", Journal of Development Economics, forthcoming.
Cuddington, J. T. and C. M. Urzúa (1989). "Trends and Cycles in the Net Barter Terms of Trade: A New Approach", Economic Journal, June, pp. 426-442.
Dickey, D. A., W. R. Bell, and R. B. Miller (1986). "Unit Roots in Time Series Models: Tests and Implications", American Statistician, February, pp. 12-26.
Fuller, W. A. (1976). Introduction to Statistical Time Series, New York, Wiley.
Grilli, E. R., and M. C. Yang (1988). "Primary Commodity Prices, Manufactured Goods Prices, and Terms of Trade of Developing Countries: What the Long Run Shows", World Bank Economic Review, January, pp. 1-48.
MacKinnon, J. G. (1990). "Critical Values for Cointegration Tests", Queen's University and University of California, San Diego, manuscript.
Nelson, C. R., and H. Kang (1984). "Pitfalls in the Use of Time as an Explanatory Variable in Regression", Journal of Business and Economic Statistics, pp. 73-82.
Perron, P. (1988). "Trend and Random Walks in Macroeconomic Time Series, Further Evidence from a New Approach", Journal of Economic Dynamics and Control, vol. 12, pp. 297-332.
Perron, P. (1989). "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis", Econometrica, November, pp. 1361-1401.
Perron, P. (1990). "Testing for a Unit Root in a Time Series with a Changing Mean", Journal of Business and Economic Statistics.
Plosser, C. I., and G. W. Schwert (1978). "Money, Income, and Sunspots: Measuring Economic Relationships and the Effects of Differencing", Journal of Monetary Economics, vol. 4, pp. 637-660.
Prebisch, R. (1950). The Economic Development of Latin America and its Principal Problems, United Nations, Lake Success.
Said, S. E., and D. A. Dickey (1984). "Testing for Unit Roots in Autoregressive Moving-Average Models with Unknown Order", Biometrika, pp. 599-607.
Sapsford, D. (1985a). "The Statistical Debate on the Net Barter Terms of Trade between Primary Commodities and Manufactures: A Comment and some Additional Evidence", Economic Journal, pp. 781-788.
Sapsford, D. (1985b). "Real Primary Commodities Prices: An Analysis of Long-Run Movements", Document DM/85/31, International Monetary Fund.
Scandizzo, P. L., and D. Diakosawas (1987). Instability of the Terms of Trade of Primary Commodities: 1900-1982, FAO Economic and Social Development Paper, vol. 64, Rome, FAO.
Singer, H. (1950). "The Distributions of Gains between Investing and Borrowing Countries", American Economic Review, Papers and Proceedings, May, pp. 473-485.
Spraos, J. (1980). "The Statistical Debate on the Net Barter Terms of Trade between Primary Commodities and Manufactures", Economic Journal, March, pp. 107-128.
Thirlwall, A. P. and Bergevin, J. (1985). "Trends, Cycles and Asymmetries in the Terms of Trade of Primary Commodities from Developed and Less Developed Countries", World Development, July, pp. 805-817.
United Nations (1949). Relative Prices of Exports and Imports of Under-Developed Countries, New York, Lake Success.
von Hagen, J. (1989). "The Relative Commodity Prices and Cointegration", Journal of Business and Economic Statistics, October, pp. 497-503.
World Bank (1982). Price Prospects for Major Primary Commodities, Report No. 8141-2, Washington.
Abstract viewed - 240 times
PDF downloaded: 89 times