NDLI: Mean Reversion in Agricultural Commodity Prices in India

Content Provider	Springer Nature Link
Author	Gil Alana, Luis A. Tripathy, Trilochan
Copyright Year	2014
Abstract	This paper deals with the analysis of several commodity prices in India using an approach based on fractional integration and focusing on the degree of persistence of the series. We examine seven agricultural prices: rice, wheat, maize, bajra, jowar, black gram and arhar. The results can be summarized as follows: in five of the series examined (rice, wheat, maize, bajra and jowar) we find evidence of mean reversion with the effect of the shocks disappearing in the long run. On the contrary, in two of the series (black gram and arhar) we cannot reject the null of a unit root with the implication that shocks have a permanent nature. Thus, in the event of a negative shock, strong measures must be adopted in these two series since the effect of the shocks will persist forever.
Starting Page	385
Ending Page	398
Page Count	14
File Format	PDF
ISSN	10830898
Journal	International Advances in Economic Research
Volume Number	20
Issue Number	4
e-ISSN	1573966X
Language	English
Publisher	Springer US
Publisher Date	2014-09-04
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Persistence Commodity prices Unit roots Long memory Economics general Macroeconomics/Monetary Economics International Economics Microeconomics Economic Growth
Content Type	Text
Resource Type	Article
Subject	Economics and Econometrics

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Mean Reversion in Agricultural Commodity Prices in India