Are Shocks Transitory or Permanent? An Inquiry into Agricultural Commodity Prices

摘要: This paper contributes to the contentious topic of whether shocks agricultural commodity prices are permanent or transitory. is an important issue with regards forecasting, economic modelling and risk management. Past studies have not accounted for characteristics that matter when testing These include presence absence a deterministic trend, possible break in non‐stationary volatility, problem initial deviation from their long‐run mean trend. We conduct comprehensive test incorporates all these known plague prices. Though conclusion mixed, balance favour price being nature. result departs general view theory, should be stationary, suggesting controversy temporary yet over.