Piecewise linear trends and cycles in primary commodity prices

Producción científica: Contribución a una revistaArtículo de revista revisión exhaustiva

13 Citas (Scopus)


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.
Idioma originalInglés
Páginas (desde-hasta)196-213
Número de páginas18
PublicaciónJournal of International Money and Finance
EstadoPublicada - 1 jun. 2016

Palabras clave

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


Profundice en los temas de investigación de 'Piecewise linear trends and cycles in primary commodity prices'. En conjunto forman una huella única.

Citar esto