Title
Unit roots, flexible trends, and the Prebisch-Singer hypothesis
Date Issued
01 May 2018
Access level
open access
Resource Type
journal article
Publisher(s)
Elsevier B.V.
Abstract
This paper studies the dynamic properties of relative commodity prices, especially the Prebisch-Singer hypothesis on their secular decline, using a new family of unit root tests based on the Fourier approximation to the data's underlying trend. The approximation controls for low-frequency variations such as structural breaks or the long swings induced by hypothesized super cycles in the data. Regarding the extant literature, we find considerably more evidence against nonstationarity in relative commodity prices, and very limited support for the Prebisch-Singer hypothesis.
Start page
1
End page
17
Volume
132
Language
English
OCDE Knowledge area
Economía
Econometría
Subjects
Scopus EID
2-s2.0-85039153323
Source
Journal of Development Economics
ISSN of the container
03043878
Sponsor(s)
I am indebted to Pablo Lavado, Nelson Ramírez-Rondán, Gabriel Rodríguez, Marco Vega, two anonymous referees, and participants at the 32nd Meeting of Economists of the Central Reserve Bank of Peru for their comments and suggestions, which helped me to improve the content and clarity of this article. I would also like to thank Mariella Marmanillo for her outstanding research assistance. The financial support of the Research Center of Universidad del Pacífico (CIUP) is gratefully acknowledged. I alone am responsible for the views expressed in this paper and for any remaining errors.
Sources of information:
Directorio de Producción Científica
Scopus