1887

UN Department of Economic and Social Affairs (DESA) Working Papers

The UN Department of Economic and Social Affairs (DESA) Working Papers aim to stimulate discussion and critical comment on the broad range of economic, social and environmental issues associated with the United Nations Development Agenda.

English

Super-Cycles of Commodity Prices since the Mid-Nineteenth Century

Decomposition of real commodity prices suggests four super-cycles during 1865-2009 ranging between 30-40 years with amplitudes 20-40 percent higher or lower than the long-run trend. Non-oil price super-cycles follow world GDP, indicating they are essentially demand-determined; causality runs in the opposite direction for oil prices. The mean of each super-cycle of non-oil commodities is generally lower than for the previous cycle, supporting the Prebisch-Singer hypothesis. Tropical agriculture experienced the strongest and steepest long-term downward trend through the twentieth century, followed by non-tropical agriculture and metals, while real oil prices experienced a long-term upward trend, interrupted temporarily during the twentieth century.

English

Keywords: commodity prices, band-pass filters, Super-cycles, Prebisch-Singer hypothesis
JEL: Q02: Agricultural and Natural Resource Economics; Environmental and Ecological Economics / General / Commodity Markets; C22: Mathematical and Quantitative Methods / Single Equation Models; Single Variables / Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; E3: Macroeconomics and Monetary Economics / Prices, Business Fluctuations, and Cycles
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