Journal
RESOURCES POLICY
Volume 34, Issue 3, Pages 87-102Publisher
ELSEVIER SCI LTD
DOI: 10.1016/j.resourpol.2009.02.001
Keywords
Metal prices; Cyclicality of prices; Duration of metal price cycles; Commodity price cycles
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This paper addresses the fluctuations in real metal prices: are they simply random variations or do they display some degree of cyclicality? This study identifies peaks and troughs in the inflation adjusted prices for 14 metals, using monthly average data from January 1947 through December 2007. Duration dependence testing, which is performed on the expansions, contractions, and full cycles, finds many cases in which the duration of these phases are not purely random and have some degree of cyclicality. Additional characterization show that contractions generally persist longer than expansions (in contrast to macroeconomic cycles) that long-term real prices have been trendless, and that the amplitude of price changes over the phases has little regularity. For those performing this type of analysis, the appendices explain the procedures for dating turning points and assessing duration dependence. (C) 2009 Elsevier Ltd. All rights reserved.
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