Sharp Breaks or Smooth Shifts? an Investigation of the Evolution of Primary Commodity Prices
研究了50年间实际商品价格的行为，重点分析2000年代中期以来的均值变化，通过三种方法识别结构变化，发现转变时点模式揭示了近期繁荣的成因。
This paper explores the behavior of real commodity prices over a 50–year period. Attention is given to how the shifting means for various commodity prices have changed with a special emphasis on behavior since the mid 2000s. To identify structural changes in commodity prices, we estimate shifting–mean autoregressions by using: the Bai and Perron (1998) procedure for determining structural breaks; low frequency Fourier functions; and a procedure that specifies shifts to be smooth logistic functions of time. We find that the pattern in the timing of shifts is suggestive of the causal factors underlying the recent boom.