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How well are long‐run commodity price series characterized by trend components?
Author(s) -
Newbold Paul,
Pfaffenzeller Stephan,
Rayner Anthony
Publication year - 2005
Publication title -
journal of international development
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.533
H-Index - 66
eISSN - 1099-1328
pISSN - 0954-1748
DOI - 10.1002/jid.1139
Subject(s) - commodity , predictability , economics , context (archaeology) , econometrics , series (stratigraphy) , time series , macroeconomics , financial economics , market economy , geography , statistics , mathematics , paleontology , biology , archaeology
Various studies have investigated trends in commodity prices in the context of the Prebisch Singer Hypothesis. This paper applies new evidence on significance tests for trends in differenced and correlated stationary processes, to individual price series. It is also investigated how well trends are suited for price forecasts and what these findings imply for developing countries. Few commodity price series are well characterized by a trend and trends are useful for forecasting in even fewer cases. Commodity specialization is still problematic for LDCs but the main issue is a lack of predictability rather than a secular decline. Copyright © 2005 John Wiley & Sons, Ltd.