Detalle Publicación

ARTÍCULO
Persistence in Commodity Prices
Título de la revista: JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS
ISSN: 1068-5502
Volumen: 47
Número: 2
Páginas: 262 - 277
Fecha de publicación: 2022
Lugar: WOS
Resumen:
This paper deals with the analysis of world commodity prices by examining 15 categories ofcommodity prices using fractional integration and including thus fractional points. We use datacorresponding to the 1960-2018 period obtained from the World Bank, and the results indicatehigh degrees of persistence in the majority of the series, especially when using parametricmethods. However, mean reversion is obtained in many cases when using semiparametricapproaches. The possibility of structural breaks is also considered, and our results confirm thehigh degree of persistence in the data, which seems to have increased across time