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Are shocks to commodity prices persistent?

journal contribution
posted on 2011-01-01, 00:00 authored by Paresh Narayan, Ruipeng LiuRuipeng Liu
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.

History

Journal

Applied energy

Volume

88

Issue

1

Pagination

409 - 416

Publisher

Pergamon

Location

Oxford, England

ISSN

0306-2619

eISSN

1872-9118

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2010, Elsevier