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How Persistent Are Shocks to World Commodity Prices?

How Persistent Are Shocks to World Commodity Prices? »

Source: How Persistent Are Shocks to World Commodity Prices?

Volume/Issue: 1999/80

Series: IMF Working Papers

Author(s): Hong Liang , C. McDermott , and Paul Cashin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1999

ISBN: 9781451850284

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...