Threshold Effects and Unit Roots of Real Commodity Prices Since the Mid-Nineteenth Century


  • Documento de Trabajo RIEC
  • Documento de trabajo RIEC


  • This paper investigates whether real commodity prices for six major primary goods can be characterized by a unit root process and nonlinearities. An unconstrained two-regime threshold autoregressive model is used with an autoregressive unit root. Among the main results, it is found that terms of trade for agricultural, mineral, non-tropical, and non-oil goods, are nonlinear processes that are characterized by a unit root process. Additionally, we found evidence supporting the Prebisch-Singer hypothesis for mineral and tropical goods.

fecha de publicación

  • 2019

Líneas de investigación

  • Commodity Prices
  • Commodity prices
  • Non-linear
  • Nonlinearities
  • Threshold Effect
  • Threshold effect
  • Unit Root
  • Unit root


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