| Authors |
Antypas, A., Koundouri, P. and Kourogenis, N. |
| Title |
Oscillatory Versus Quadratic Trends in Natural Resource Commodity Prices |
| Abstract |
In this paper we introduce a model for the description of natural resources��
price paths, which in contrast to the existing literature, captures non-linear trends by
means of a simple trigonometric function. We then use a set of model selection criteria
to compare our trigonometric trend model with Slade��s (1982) quadratic trend model,
as well as a more general one, that nests both of these models. We estimate the models
using price series of the main fuel and metal resources prices, analyzed by the relevant
literature, and ��nd that in most cases the trigonometric trend model is selected as the
one better ��tting the data. Our results have implications for the long-run projection of
natural resources prices and, consequently, for the relevance of the Hotelling rule. |
| Creation Date |
2013-02-19 |
| Keywords |
Oscillatory trend, quadratic trend, Hotelling rule, natural resources�prices, model selection. |
| Classification JEL |
E3, C22 |
| File |
oscill_trendsNew2.pdf (121379 bytes) |
| File-Function |
First version |
|
Copyright © 2009 [D.I.E.S.S. A.U.E.B.]. All rights reserved.
|
