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Dynamic Persistence of Primary Commodity Prices

Lookup NU author(s): Professor Atanu Ghoshray


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This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half-life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy-makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.

Publication metadata

Author(s): Ghoshray A

Publication type: Article

Publication status: Published

Journal: American Journal of Agricultural Economics

Year: 2013

Volume: 95

Issue: 1

Pages: 153-164

Print publication date: 01/01/2013

ISSN (print): 0002-9092

ISSN (electronic): 1467-8276

Publisher: Oxford University Press


DOI: 10.1093/ajae/aas130


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