Structural Breaks and Long-Run Trends in Commodity Prices
Structural Breaks and Long-Run Trends in Commodity Prices
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大宗商品价格的结构性突破和长期趋势
DOI：
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发表时间：
1997
期刊：
影响因子：
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通讯作者：
Raimundo Soto
中科院分区：
文献类型：
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作者：
Javier León;Raimundo Soto
上世纪70年代的石油危机使石油价格翻了两番，标志着一段不正常的价格稳定时期的结束，人们重新对预测大宗商品价格的演变产生了兴趣。但后来的研究大多集中在价格波动的短期影响上，主要是因为价格波动对发展中国家的对外贸易影响很大。引入了复杂的补偿机制，如大宗商品基金，以抵消价格冲击的短暂影响。但价格的长期演变也会影响政策设计和发展战略，并可能在促进长期增长方面发挥更重要的作用。Prebisch（1950）和Singer（1950）提出的1870-1945年商品价格长期负趋势的证据表明，相对于工业经济体，发展中国家的地位越来越弱。在过去的四十年里，普雷维什和辛格的这一假设在理论上和实证上都受到了激烈的争论。利用计量经济学理论的最新进展，作者分析了1900- 1992年间24种交易最多的商品价格的长期动态。他们使用的方法是非平稳性（单位根）测试序列的技术，允许结构断裂是内生决定的。结果表明，24种商品价格中有15种呈负趋势，6种呈无趋势，3种呈正趋势。因此，普雷比希-辛格假设虽然不是普遍的，但对大多数商品都成立。这一证据在一定程度上否定了Cuddington（1992）等人先前的证据。作者扩展了计量经济学分析，以确定商品价格冲击的持久性。在设计商品基金等平衡政策时，了解冲击的持久性是很重要的。作者使用了持久性的非参数估计值（多元方差比），发现24种商品价格中有19种的持久性水平大大低于之前的估计。这一证据表明，大多数商品可能有很大的稳定空间和价格支持机制。
The oil shocks of the 1970s, which quadrupled the price of petroleum, marked the end of an abnormal period of price stability and renewed interest in predicting the evolution of commodity prices. But most subsequent studies have focused on the short-run effects of price fluctuations, mainly because they greatly affect the foreign trade of developing countries. Sophisticated compensation mechanisms, such as commodity funds, have been introduced to counterbalance the transitory effects of price shocks. But the long-term evolution of prices also affects policy design and development strategies and may have a more important role in fostering long-run growth. The evidence presented by Prebisch (1950) and Singer (1950) of a secular negative trend in the price of commodities in 1870-1945 implies an increasingly weak position for developing countries relative to industrial economies. This hypothesis by Prebisch and Singer has been strongly debated, both theoretically and empirically, during the past four decades. Using recent advances in econometric theory, the authors analyze the long-run dynamics of the price of the 24 most-traded commodities in 1900-92. The method they use tests for nonstationarity (unit roots) in the series with a technique that allows structural breaks to be endogenously determined. The results show that 15 of the 24 commodity prices present negative trends, six are trendless, and three exhibit positive trends. Thus, the Prebisch-Singer hypothesis though not universal, holds for most commodities. This evidence rejects, to some extent, previous evidence by Cuddington (1992) and others. The authors extend the econometric analysis to determine the persistence of shocks to commodity prices. Knowledge of the persistence of shocks is important when designing counterbalancing policies such as commodity funds. The authors use a nonparametric estimator of persistence (the multiple variance ratio) and find that 19 of the 24 commodity prices present persistence levels substantially lower than previous estimates. This evidence suggests that there may be substantial room for stabilization and price support mechanisms for most commodities.