Are shocks to commodity prices persistent?

Narayan, Paresh and Liu, Ruipeng 2011, Are shocks to commodity prices persistent?, Applied energy, vol. 88, no. 1, pp. 409-416.

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Title Are shocks to commodity prices persistent?
Author(s) Narayan, Paresh
Liu, Ruipeng
Journal name Applied energy
Volume number 88
Issue number 1
Start page 409
End page 416
Total pages 8
Publisher Pergamon
Place of publication Oxford, England
Publication date 2011-01
ISSN 0306-2619
1872-9118
Keyword(s) commodity prices
unit root test
GARCH
persistent
transitory
structural break
Summary 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.
Language eng
Field of Research 140207 Financial Economics
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2011
Copyright notice ©2010, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30034372

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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