The Model of Commodity Prices after Sir Arthur Lewis Revisited

Atanu Ghoshray, Ashira Perera

Research output: Working paper

Abstract

This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is employed by updating the price, income and production indices; and finally advanced econometric techniques are adopted in order to investigate whether there is empirical evidence to support the theoretical underpinnings of the nonlinear model. Higher power tests broadly reverse the empirical findings of Deaton and Laroque’s (2003) model of commodity prices, lending support to the underlying theory proposed in this paper. Tests for cointegration provide evidence that the long-run relationship between world commodity production and world income for key commodities such as sugar, copper, and tin may be better explained by non-linear behavior.
LanguageEnglish
Place of PublicationBath, U. K.
PublisherDepartment of Economics, University of Bath
StatusPublished - 2011

Publication series

NameBath Economics Research Working Papers
No.08/11

Fingerprint

Commodity prices
Commodities
Income
Copper
Lending
Empirical evidence
Cointegration
Econometrics
Long-run relationship

Keywords

  • Commodity prices
  • Lewis model
  • Cointegration
  • ESTAR

Cite this

Ghoshray, A., & Perera, A. (2011). The Model of Commodity Prices after Sir Arthur Lewis Revisited. (Bath Economics Research Working Papers; No. 08/11). Bath, U. K.: Department of Economics, University of Bath.

The Model of Commodity Prices after Sir Arthur Lewis Revisited. / Ghoshray, Atanu; Perera, Ashira.

Bath, U. K. : Department of Economics, University of Bath, 2011. (Bath Economics Research Working Papers; No. 08/11).

Research output: Working paper

Ghoshray, A & Perera, A 2011 'The Model of Commodity Prices after Sir Arthur Lewis Revisited' Bath Economics Research Working Papers, no. 08/11, Department of Economics, University of Bath, Bath, U. K.
Ghoshray A, Perera A. The Model of Commodity Prices after Sir Arthur Lewis Revisited. Bath, U. K.: Department of Economics, University of Bath. 2011, (Bath Economics Research Working Papers; 08/11).
Ghoshray, Atanu ; Perera, Ashira. / The Model of Commodity Prices after Sir Arthur Lewis Revisited. Bath, U. K. : Department of Economics, University of Bath, 2011. (Bath Economics Research Working Papers; 08/11).
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