Are shocks to commodity prices persistent?

被引：52

作者：

Narayan, Paresh Kumar ^{[1
]}

Liu, Ruipeng ^{[1
]}

机构：

[1] Deakin Univ, Sch Accounting Econ & Finance, Fac Business & Law, Burwood, Vic 3125, Australia

来源：

APPLIED ENERGY | 2011年 / 88卷 / 01期

关键词：

Commodity prices; Unit root test; GARCH; Persistent; Transitory; Structural break; NATURAL-GAS SUPPLIES; UNIT-ROOT; CRUDE-OIL; TIME-SERIES; STRUCTURAL BREAKS; RESOURCE PRICES; PANEL; CONSUMPTION; PERMANENT; TEMPORARY;

D O I：

10.1016/j.apenergy.2010.07.032

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP) [14] test and the Liu and Narayan (LN) [26] test. Both tests allow for two structural breaks in the data series. Using the NP test, we are able to reject the unit root null for iron ore and tin. Using the GARCH-based unit root test of LN, we are able to reject the unit root null for five commodity prices (iron ore, nickel, zinc, lead, and tin). Our findings, thus, suggest that only shocks to gold, silver, platinum, aluminum, and copper are persistent. (C) 2010 Elsevier Ltd. All rights reserved.

引用

页码：409 / 416

页数：8

共 48 条

[1] Trends in natural resource commodity prices: Deterministic or stochastic?
Ahrens, WA
Sharma, VR
[J]. JOURNAL OF ENVIRONMENTAL ECONOMICS AND MANAGEMENT, 1997, 33 (01) : 59 - 74
[2] Akgiray V., 1991, The Financial Review, V26, P367
[3] Natural resource prices: Will they ever turn up?
Berck, P
Roberts, M
[J]. JOURNAL OF ENVIRONMENTAL ECONOMICS AND MANAGEMENT, 1996, 31 (01) : 65 - 78
[4] Testing for the random walk hypothesis in the case of visitor arrivals: evidence from Indian tourism
Bhattacharya, M
Narayan, PK
[J]. APPLIED ECONOMICS, 2005, 37 (13) : 1485 - 1490
[5] *BLS, 1996, DAT IND PROD DAT
[6] Cai J, 2001, J FUTURES MARKETS, V21, P257, DOI 10.1002/1096-9934(200103)21:3<257::AID-FUT4>3.0.CO
[7] 2-W
[8] Modeling the relationship between the oil price and global food prices
Chen, Sheng-Tung
Kuo, Hsiao-I
Chen, Chi-Chung
[J]. APPLIED ENERGY, 2010, 87 (08) : 2517 - 2525
[9] Chow Ying-Foon., 2001, J BUS FINAN ACCOUNT, V28, P693
[10] Christie-David Rohan., 2000, Journal of Economics and Business, V52, P405, DOI [10.1016/S0148-6195(00)00029-1, DOI 10.1016/S0148-6195(00)00029-1]

← 1 2 3 4 5 →