Testing the Prebisch-Singer Hypothesis since 1650: Evidence from Panel Techniques that Allow for Multiple Breaks
IMF Working Papers, August 15, 2013
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- Testing the Prebisch-Singer Hypothesis since 1650: Evidence from Panel Techniques that Allow for Multiple Breaks
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Bibliographic details
- Authors: Rabah Arezki, Kaddour Hadri, Prakash Loungani, Yao Rao
- Published: August 15, 2013
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484341155.001
Authors and publication
- By Rabah Arezki, Kaddour Hadri, Prakash Loungani, Yao Rao
- August 15, 2013
- IMF Working Papers, Issue: 180; Series: Working Paper No. 2013/180
- Pages: 37
- Volume: 2013
- DOI: https://doi.org/10.5089/9781484341155.001
- Stock No: WPIEA2013180
- ISBN: 9781484341155
- ISSN: 1018-5941
Research objective and data
- Re-examine two aspects of the dynamics of relative primary commodity prices:
- The secular trend.
- Short run volatility.
- Data:
- 25 series, some starting as far back as 1650.
Methodology
- Employ powerful panel data stationarity tests that allow for endogenous multiple structural breaks.
- Tests are applied to each of the 25 relative primary commodity price series.
- Volatility dynamics are analyzed while also allowing for endogenous multiple breaks.
Key empirical findings
- Stationarity:
- All 25 series are stationary after allowing for endogeneous multiple breaks.
- Prebisch-Singer hypothesis tests:
- Results are mixed.
- A majority of series show negative trends consistent with the Prebisch-Singer hypothesis (that relative commodity prices follow a downward secular trend).
- Volatility:
- Volatility of the 25 relative primary commodity prices is often time-varying.
- Volatility has increased in recent years.
Additional analysis
- First attempt at identifying potential drivers of the structural breaks in the relative commodity price series.
Subjects and keywords (as listed)
- Subjects: Agricultural commodities, Commodities, Commodity markets, Commodity price fluctuations, Commodity prices, Financial markets, Prices
- Keywords: Agricultural commodities, banana price volatility, beef price volatility, coal price volatility, commodities, Commodity markets, commodity price, Commodity price fluctuations, Commodity prices, commodity prices of banana, Global, gold price volatility, lamb price volatility, Multiple, nickel price volatility, price volatility, Primary, root tests, Structural breaks, tin price volatility, tobacco price volatility, Unit, Volatility, volatility of commodity price, WP
Source: IMF Working Paper "Testing the Prebisch-Singer Hypothesis since 1650: Evidence from Panel Techniques that Allow for Multiple Breaks" (August 15, 2013) by Rabah Arezki, Kaddour Hadri, Prakash Loungani, and Yao Rao.