TY - JOUR
T1 - Are shocks to commodity prices persistent?
AU - Narayan, Paresh Kumar
AU - Liu, Ruipeng
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 2011/1
Y1 - 2011/1
N2 - This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP) [14] test and the Liu and Narayan (LN) [26] test. Both tests allow for two structural breaks in the data series. Using the NP test, we are able to reject the unit root null for iron ore and tin. Using the GARCH-based unit root test of LN, we are able to reject the unit root null for five commodity prices (iron ore, nickel, zinc, lead, and tin). Our findings, thus, suggest that only shocks to gold, silver, platinum, aluminum, and copper are persistent.
AB - This paper considers the issue of whether shocks to ten commodity prices (gold, silver, platinum, copper, aluminum, iron ore, lead, nickel, tin, and zinc) are persistent or transitory. We use two recently developed unit root tests, namely the Narayan and Popp (NP) [14] test and the Liu and Narayan (LN) [26] test. Both tests allow for two structural breaks in the data series. Using the NP test, we are able to reject the unit root null for iron ore and tin. Using the GARCH-based unit root test of LN, we are able to reject the unit root null for five commodity prices (iron ore, nickel, zinc, lead, and tin). Our findings, thus, suggest that only shocks to gold, silver, platinum, aluminum, and copper are persistent.
KW - Commodity prices
KW - GARCH
KW - Persistent
KW - Structural break
KW - Transitory
KW - Unit root test
UR - http://www.scopus.com/inward/record.url?scp=77957303281&partnerID=8YFLogxK
U2 - 10.1016/j.apenergy.2010.07.032
DO - 10.1016/j.apenergy.2010.07.032
M3 - Article
AN - SCOPUS:77957303281
SN - 0306-2619
VL - 88
SP - 409
EP - 416
JO - Applied Energy
JF - Applied Energy
IS - 1
ER -