Series: IMF Working Papers
Author(s): Hong Liang , C. McDermott , and Paul Cashin
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 1999
Keywords: Commodity prices, median-unbiased estimation, shock persistence, price stabilization, time series, export earnings, confidence interval, confidence intervals
This paper examines the persistence of shocks to world commodity prices, using monthly IMF data on primary commodities between 1957–98. We find that shocks to commodity prices are typically long–lasti...