Enders, Walter and Holt, Matthew T. (2011): Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals.
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This paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the fundamentals for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify changing commodity price fundamentals we estimate shifting–mean autoregressions by using: the Bai and Perron (1998) procedure for estimating structural breaks; a SlowShift procedure that specifies intercepts to be nonlinear, potentially smooth functions of time; and low frequency Fourier functions. We find that the pattern in the timing of the various shifts is suggestive of the causal fundamentals underlying the recent boom.
|Item Type:||MPRA Paper|
|Original Title:||Breaks, bubbles, booms, and busts: the evolution of primary commodity price fundamentals|
|Keywords:||Commodity Prices, Fundamentals, Nonlinear Trends, Shifting--Mean Autoregression|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics > Q2 - Renewable Resources and Conservation
|Depositing User:||Matthew T. Holt|
|Date Deposited:||12. Jun 2011 15:01|
|Last Modified:||19. Feb 2013 05:10|
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