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Provedor de dados:  AgEcon
País:  United States
Título:  Breaking Trends and the Prebisch-Singer Hypothesis: A Further Investigation
Autores:  Ghoshray, Atanu
Kejriwal, Mohitosh
Wohar, Mark E.
Data:  2012-02-08
Ano:  2011
Palavras-chave:  Primary commodity prices
Structural breaks
Trend functions
Prebisch- Singer Hypothesis
Unit roots
Demand and Price Analysis
Marketing
Research Methods/ Statistical Methods
013
C22
Resumo:  This paper examines the Prebisch-Singer Hypothesis employing new time se- ries procedures that are robust to the nature of persistence in the commodity price shocks, thereby obviating the need for unit root pretesting. Speci…cally, the proce- dures allow consistent estimation of the number of structural breaks in the trend function as well as facilitate the distinction between trend breaks and pure level shifts. In comparison with past studies, we …nd fewer cases of commodities that display negative trends thereby weakening the case for the Prebisch-Singer Hypoth- esis. Finally, a new set of powerful unit root tests allowing for structural breaks under both the null and alternative hypotheses is applied to determine whether the underlying commodity price series can be characterized as di¤erence or trend sta- tionary processes. Relative to the extant literature, we …nd more evidence in favor of trend stationarity suggesting that real commodity price shocks are mostly of a transitory nature.
Tipo:  Presentation
Idioma:  Inglês
Identificador:  http://purl.umn.edu/120387
Relação:  European Association of Agricultural Economists>2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland
Formato:  42
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