Testing the Prebisch-Singer hypothesis since 1650 : evidence from panel techniques that allow for multiple breaks

Rabah Arezki; Kaddour Hadri; Prakash Loungani; Yao Rao

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for endogenous multiple structural breaks. Results show that all the series are stationary after allowing for endogeneous multiple breaks. Test results on the Prebisch-Singer hypothesis, which states that relative commodity prices follow a downward secular trend, are mixed but with a majority of series showing n

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Year of publication:	2013
Authors:	Arezki, Rabah ; Hadri, Kaddour ; Loungani, Prakash ; Rao, Yao
Publisher:	Washington, DC : IMF
Subject:	Terms of Trade \| Terms of trade \| Rohstoffpreis \| Commodity price \| Volatilität \| Volatility \| Schätzung \| Estimation \| 1650-2005

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Extent:	Online-Ressource (36 S.) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 13/180
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Description based upon print version of record Systemvoraussetzungen: Acrobat Reader Cover; Testing the Prebisch-Singer Hypothesis since 1650: Evidence from Panel Techniques that Allow for Multiple Breaks; Abstract; 1 Introduction; 2 Panel stationarity tests with multiple struc- tural breaks; 2.1 Testing the presence of multiple structural changes; 3 Data; Figure; Figure 1. Evolution of relative primary commodity prices; 4 Empirical Results; 4.1 Testing the Prebisch-Singer hypothesis; 4.1.1 Testing the stationarity of relative commodity prices; Tables; Table 1: Cross-sectional correlations between all the commodity prices Table 2. Summary of estimated numbers and location of structural breaksTable 3. Summary of estimated numbers and location of structural breaks; 4.1.2 Piecewise regressions; Table 4. Summary of estimated numbers and location of structural breaks (mmax=5); Table 5. Piecewise regression results (mmax=5); Table 6. Piecewise regression results (mmax=5); Table 7. Piecewise regression results (mmax=5); 4.1.3 Analysis of the results of the Prebisch-Singer; 4.1.4 Drivers of structural breaks; 4.2 Volatility of relative commodity prices; 4.2.1 Analysis of the volatility results; 5 Conclusions References
ISBN:	978-1-4843-4115-5
Other identifiers:	10.5089/9781484341155.001 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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