Super-Cycles of Commodity Prices Since the Mid-Nineteenth Century
First published: 2013
Brief summary
Applies a band-pass filter approach, grounded in spectral analysis theory, to decompose 150+ years of real commodity price data into cyclical components, identifying long-run 'super-cycles' distinct from shorter business-cycle fluctuations.
Article
Super-Cycles of Commodity Prices Since the Mid-Nineteenth Century is a peer-reviewed journal article published by World Development (ScienceDirect) in 2013. It applies a band-pass filter approach, grounded in spectral analysis theory, to decompose 150+ years of real commodity price data into cyclical components, identifying long-run 'super-cycles' distinct from shorter business-cycle fluctuations.
The method uses uses band-pass (BP) filter to decompose commodity price time series into cyclical components across a range of periodicities/frequencies. The data source is real commodity prices since the mid-19th century. This gives the cycle claim a specific numerical and evidential setting rather than presenting periodicity only as a visual impression.
The article reports the following result: Recent statistical decomposition techniques focused on filtering methods are particularly useful in identifying super-cycles; the band-pass filter approach allows economic time series to be decomposed into cyclical components of a range of periodicities. 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 supercycles, long-run commodity prices, band-pass filter, price cycles. 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: World Development (ScienceDirect)
- Source type: Peer-reviewed journal article
- URL type: WWW
- Credits: World Development (ScienceDirect)
- URL: https://www.sciencedirect.com/science/article/pii/S0305750X12002926