Revisiting Structural Breaks in the Terms of Trade of Primary Commodities (1900–2020)—Markov Switching Models and Finite Mixture Distributions - Université de Versailles Saint-Quentin-en-Yvelines Access content directly
Journal Articles Engineering Proceedings Year : 2021

Revisiting Structural Breaks in the Terms of Trade of Primary Commodities (1900–2020)—Markov Switching Models and Finite Mixture Distributions

Abstract

This paper presents an analysis of the long-term dynamics of the terms of trade of primary commodities (TTPC) using an extended data set for the whole period 1900–2020. Following our original contribution, we implement three approaches of time series—the finite mixture of distributions, the Markov finite mixture of distributions, and the Markov regime-switching model. Our results confirm the hypothesis of the existence of a succession of three different dynamic regimes in the TTPC over the 1900–2020 period. It seems that the uncertainty characterising the long-term dynamic analysis of TTPC is better taken into account with a Markov hypothesis in the transition from one regime to another than without this hypothesis. In addition, this hypothesis improves the quality of the time series segmentation into regimes.
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hal-04488479 , version 1 (04-03-2024)

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  • HAL Id : hal-04488479 , version 1

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Armand Taranco, Vincent Geronimi. Revisiting Structural Breaks in the Terms of Trade of Primary Commodities (1900–2020)—Markov Switching Models and Finite Mixture Distributions. Engineering Proceedings, 2021, 5 (34). ⟨hal-04488479⟩
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