Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7365567 | Journal of International Money and Finance | 2016 | 32 Pages |
Abstract
We extend the methodology put forward in Yamada and Yoon (2014, Journal of International Money and Finance, 42(C), 193-207) to analyze the trend and cyclical behavior of relative primary commodity prices. These authors propose the use of the so-called â1-filter that renders piecewise linear trends of the underlying data. Our focus on the calibration of such filter and its implications for the empirical analysis of primary commodity prices, especially the interpretation given to the resulting trend. We also illustrate how suitably calibrated filters may be used to compute piecewise linear (super) cycles, whose turning points are easy to identify.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Diego Winkelried,