Threshold effects and unit roots of real commodity prices since the mid-nineteenth century

• Pedro Clavijo-Cortes ^{[1] [2]} ; Jacobo Campo-Robledo ^[2] ; Henry Mendoza-Tolosa ^[2]
  1. [1] University of Utah

     University of Utah

     Estados Unidos

     
  2. [2] Universidad Católica de Colombia

     Universidad Católica de Colombia

     Colombia

     
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 9, Nº. Extra 4, 2020 (Ejemplar dedicado a: Selected papers from CIO 2019 / 13th International Conference on Industrial Engineering and Industrial Management), págs. 342-349
• Idioma: inglés
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• Resumen

  • This document investigates whether a unit root process and nonlinearities can characterize real commodity prices for six major primary goods. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods are nonlinear processes that are characterized by a unit root process. The finding of nonlinearities explains why the deterioration of the terms of trade has been episodic. Additionally, we found there is no statistical evidence supporting the Prebisch-Singer hypothesis for agricultural, mineral, non-tropical, and non-oil goods.