Do International Relative Commodity Prices Support the Prebisch-Singer Hypothesis? A Nonlinear Panel Unit Root Testing


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Aslan M. , Nazlıoğlu Ş.

Romanian Journal Of Economic Forecasting, cilt.21, ss.76-92, 2018 (SCI İndekslerine Giren Dergi)

  • Cilt numarası: 21 Konu: 1
  • Basım Tarihi: 2018
  • Dergi Adı: Romanian Journal Of Economic Forecasting
  • Sayfa Sayıları: ss.76-92

Özet

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.