Breaks, Trends and Correlations in Commodity Prices in the Very Long-Run
First published: 2022
Brief summary
Analysis of a 700-year historical commodity price dataset (eight agricultural and industrial commodities) finds a mean periodicity of commodity cycles ranging between 30 and 35 years, alongside major structural breaks tied to historical events.
Article
Breaks, Trends and Correlations in Commodity Prices in the Very Long-Run is a peer-reviewed journal article published by Energy Economics (ScienceDirect) in 2022. It analyses a 700-year historical commodity price dataset (eight agricultural and industrial commodities) and finds a mean periodicity of commodity cycles ranging between 30 and 35 years, alongside major structural breaks tied to historical events.
The analysis focuses on mean 30-35 years. The data source is historical commodity price data spanning over 700 years across eight agricultural and industrial commodities. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.
The authors report that three quarters of the commodity prices contain a unit root and that mean periodicity of cycles range between 30 and 35 years, depending on the commodity, using a historical commodity price data set spanning over 700 years. The interpretation is strongest when it survives detrending, structural-break tests, changing market composition and out-of-sample validation.
For cycles researchers, the article brings together commodity price cycles, long-run prices, 30–35-year periodicity, structural breaks. It is relevant to commodity-cycle research because long waves, business-cycle components and structural breaks can overlap in price records.
Because it is a peer-reviewed journal article, the article is a strong starting point for discussion in the Commodities forum, although its conclusions should still be compared with later replications and updated datasets.
Source details and credits
- Source / publisher: Energy Economics (ScienceDirect)
- Source type: Peer-reviewed journal article
- URL type: WWW
- Credits: Energy Economics (ScienceDirect)
- URL: https://www.sciencedirect.com/science/article/abs/pii/S0140988322001116