Appendix I. Lists of Commodities under the IMF Primary Commodity Price Tables and UNCTAD Classifications
IMF Primary Commodity Price Tables: Aluminum, bananas, barley, beef, butter, coal, cocoa beans, coconut oil, coffee, copper, copra, cotton, DAP, fish, fish meal, gasoline, gold, groundnuts, groundnut oil, hides, iron ore, jute, lamb, lead, linseed oil, maize, natural gas, newsprint, nickel, olive oil, oranges, palm kernel oil, palm oil, pepper, petroleum, phosphate rock, potash, poultry, plywood, pulp, rice, rubber, shrimp, silver, sisal, sorghum, soybeans, soybean meal, soybean oil, sugar, sunflower oil, superphosphate, swine meat, tea, timber, hardwood logs, hardwood sawnwood, softwood logs, softwood sawnwood, tin, tobacco, uranium, urea, wheat, wool, zinc.
UNCTAD: Aluminum, bananas, beef, cattle hides, coarse wool, cocoa beans, coconut oil, coffee, copper, copra, cotton, cottonseed oil, crude petroleum, fine wool, fish meal, gold, groundnut oil, iron ore, jute, lead, linseed oil, maize, manganese ore, nickel, non-coniferous woods, palm kernel oil, palm oil, pepper, phosphate rock, plywood, rice, rubber, silver, sisal, soybean oil, soybeans, soybean meal, sugar, sunflower oil, tea, tin, tobacco, tropical logs, tropical sawnwood, tungsten ore, wheat, zinc.
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IMF Primary Commodity Price Tables: http://www.imf.org/external/np/res/commod/index.aspx
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International Monetary Fund (Arezki), World Bank (Lederman) and University of California, Berkeley (Zhao). We thank Olivier Cadot, Kaddour Hadri, Jeffrey Frankel, Caroline Freund, Gaston Gelos, Antoine Heuty, Mico Loretan, Mustapha Nabli, Chris Papageorgiou, Jim Rowe, and Liugang Sheng for useful comments and discussions. All remaining errors are ours. The views expressed in this paper are those of the authors and do not necessarily reflect those of the International Monetary Fund or of the World Bank, its Board of Directors or the countries they represent.
World Bank, Press Release No:2011/559/EXT, Washington, DC.
More recently, Deaton and Laroque (2003) have focused on the longer-run determinants of commodity prices. They developed a Lewis model where commodity supply is infinitely elastic in the long run and the rate of growth of supply responds to the excess of the current price over the long-run supply price. They find that commodity prices are stationary around its supply price and are driven in the short run by fluctuations in world income.
The results reported below are unaffected by alternative choices of datasets such as keeping products with price data available throughout the whole sample period.
Nevertheless, the main result presented in this paper holds when using US exports data rather than imports.
Robert Feenstra’s web site provides the concordance for data from 1989-2006: http://cid.econ.ucdavis.edu/. The U.S. Census Bureau provides concordance tables for 2010 and 2011: http://www.cnesus.gov/foreign-trade/reference/codes/index.html.
There is thus no concern that the main result presented in this paper is driven by the choice of filtering method.
More formally, it can easily be shown that using a variance operator to compute measures of volatility for two different price indices will bias the measure of volatility upward for the index which comprises more sub-components compared to the one with less.
Critical values of the one-sided test are 1.073, 1.2239, and 1.5174 for the 10%, 5%, and 1% levels of significance respectively (Barrett and Donald 2003, page 78).
The results from stochastic dominance tests indicate that we failed to reject the null hypothesis in the first step but reject the null hypothesis in the second steps for all the robustness cases presented hereafter. For the sake of conciseness, the test statistics and associated critical values are not reported but are available from the authors upon request.
The results discussed in this sub-section are not reported but available from the author upon request.