haku: @author Liang, H. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Cashin, P. Liang, H. McDermott, C. J. |
| Otsikko: | How Persistent Are Shocks to World Commodity Prices? |
| Lehti: | IMF Staff Papers
2000 : VOL. 47:2, p. 177-217 |
| Asiasana: | COMMODITY PRICES IMF EARNINGS |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the persistence of shocks to world commodity prices, using monthly IMF data on primary commodities between 1957-98. The authors find that shocks to commodity prices are typically long-lasting and the variability of the persistence of price shocks is quite wide. The paper also discusses the implications of these findings for national and international schemes to stabilize earnings from commodity exports and finds that if price shocks are long-lived, then the cost of stabilisation schemes will likely exceed any associated smoothing benefits. First the paper sets-out a median-unbiased estimator of first-order autoregressive/unit root (AR/UR) models then it describes the data used in this study and then it presents the main empirical findings regarding the persistence of shocks to commodity prices in 1957-1998. |
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