Variable Long-Term Trends in 100+ Mineral Prices. John T. Cuddington William J. Coulter Professor of Mineral Economics Colorado School of Mines August 16-17, 2012 Rio de Janeiro, Brazil Conference “The Economics and Econometrics of Commodity Prices”
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Variable Long-Term Trends in 100+ Mineral Prices
John T. Cuddington
William J. Coulter Professor of Mineral Economics
Colorado School of Mines
August 16-17, 2012
Rio de Janeiro, Brazil Conference
“The Economics and Econometrics of Commodity Prices”
sponsored by the Getulio Vargas Foundation and VALE
Source: (Tilton 2003, p.1)
Index includes LME6 & non-food agriculturals (wool, timber, etc.)
Apparent downward trend after early 1920s
Annual percentage changes range from -40% to +40%
Increase in volatility after early 1920s
Average annual growth rate is not statistically different from zero
Long-run Trend in EICI is negative until mid-1980s, then turns upward
One change in direction
Not exactly the classic U-shape that Pindyck-Heal-Slade would predict
Remember: EICI contains both renewable and nonrenewable resources
Wide variety of price paths
Some have more than one change in direction
Can we tell metal specific stories about the roles of exploration/discovery, depletion, and technological change?
What am I supposed to learn from this?
(Don’t put too much info on a slide!?)
Cuddington-Jerrett (2008) on LME6
Jerrett-Cuddington (2008) on Steel, Pig iron, and Molybdenum
Zellou-Cuddington (2012) on crude oil and coal
Benati, L. 2001. “Band-Pass Filtering, Cointegration, and Business Cycle Analysis,” Working Paper No 142. Bank of England.
Cristiano, L. and T. Fitzgerald. 2003. “The Band Pass Filter,” International Economic Review 44, 435-65.
Cogley, Timothy. 2008. “Data Filters,” in Steven N. Durlauf and Lawrence E. Blume (eds.) The New Palgrave Dictionary of Economics, 2nd Edition in Eight Volumes, Palgrave MacMillan.
Cogley, T. and J. Nason. 1995. “Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series: Implications for Business Cycle Research,” Journal of Economic Dynamics and Control 19, 253-78.
Comin, Diego, and Mark Gertler. “Medium-Term Business Cycles.” American Economic Review 96, no. 3 (June 2006): 523–551.
Cuddington, John T., Rodney Ludema and Shamila Jayasuriya. 2007. “Prebisch-Singer Redux,” in Daniel Lederman and William F. Maloney (eds.), Natural Resources and Development: Are They a Curse? Are They Destiny? World Bank/Stanford University Press.
Cuddington, John T and Daniel Jerrett. 2008. “Super Cycles in Metals Prices?” IMF Staff Papers 55, 4 (December), 541-565.
Gaudet, G. 2007. “Natural Resource Economics Under the Rule of Hotelling,” Canadian Journal of Economics 40: 1033–59.
Heap, Alan. 1995. CitiGroup
Hotelling, Harold. “The Economics of Exhaustible Resources.” Journal of Political Economy 39, no. 2 (April 1, 1931): 137–175.
Murray, C. 2003. “Cyclical Properties of Baxter-King Filtered Time Series,” Review of Economics and Statistics 85, 472-76.
Osborn, D. 1995. “Moving Average Detrending and the Analysis of Business Cycles,” Oxford Bulletin of Economics and Statistics 57, 547-58.
Slade, Margaret. 1982. “Trends in Natural-Resource Commodity Prices: An Analysis of the Time Domain,” Journal of Environmental Economics and Management 9, 122-137.
Slade, Margaret and Henry Thille. 2009. “Whither Hotelling: Tests of the Theory of Exhaustible Resources,” Annual Review of Resource Economics 1, pp. 239-260.
Tilton, John E. On Borrowed Time? Assessing the Threat of Mineral Depletion. Washington, D.C.: Resources for the Future, 2003.
Zellou, Abdel and John T Cuddington. 2012. “Is There Evidence of Super Cycles in Crude Oil Prices?” SPE Economics and Management (forthcoming).
My e-mail: [email protected]
Many thanks to the Getulio Vargas Foundation and VALE for sponsoring and hosting this conference