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https://hdl.handle.net/11499/10981
Title: | Do international relative commodity prices support the prebisch-singer hypothesis? A nonlinear panel unit root testing | Authors: | Aslan, M. Nazlıoğlu, Şaban |
Keywords: | Commodity prices Panel data Structural shift Unit root |
Publisher: | Institute for Economic Forecasting | Abstract: | This study investigates whether shocks to the real international commodity prices are transitory or permanent within the context of the recent developments in panel unit root testing procedures. We employ a composite panel unit root procedure -incorporates nonlinearity, gradual structural shifts, and cross-section dependency- with a sequential panel selection model which classifies stationary and non-stationary series in the panel. The analysis covering 24 real commodity prices for 1900-2010 identifies that when the behavior of commodity prices is investigated under the composite panel unit root perspective, the number of trend-stationary series increased dramatically and revealed 16 out 24 commodity prices to be stationary. A more careful examination of the findings shows that the majority of stationary prices (11 out of 16) are for livestock and agricultural commodities. However, we find only partial support for the Prebisch-Singer Hypothesis, where only 7 out of 24 commodities display negative long-term trend. © 2018, Institute for Economic Forecasting. All rights reserved. | URI: | https://hdl.handle.net/11499/10981 | ISSN: | 1582-6163 |
Appears in Collections: | İktisadi ve İdari Bilimler Fakültesi Koleksiyonu Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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