Piecewise linear trends and cycles in primary commodity prices

Research output: Contribution to journalArticle in a journalpeer-review

13 Scopus citations


We extend the methodology put forward in Yamada and Yoon (2014, Journal of International Money and Finance, 42(C), 193-207) to analyze the trend and cyclical behavior of relative primary commodity prices. These authors propose the use of the so-called ℓ1-filter that renders piecewise linear trends of the underlying data. Our focus on the calibration of such filter and its implications for the empirical analysis of primary commodity prices, especially the interpretation given to the resulting trend. We also illustrate how suitably calibrated filters may be used to compute piecewise linear (super) cycles, whose turning points are easy to identify.
Original languageEnglish
Pages (from-to)196-213
Number of pages18
JournalJournal of International Money and Finance
StatePublished - 1 Jun 2016


  • Commodity prices
  • Hodrick-Prescott filter
  • Piecewise linear trends
  • Super cycles


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