| 초록 |
The purpose of this study is to analyze the super-cycles of commodity prices and compare the main characteristics of the current super-cycles with the previous ones. We applied the asymmetric band pass filter suggested by Christiano and Fitzerald to extract the super-cycles of the World Bank commodity index and 9 commodity prices including oil, coal, natural gas, copper, zinc, aluminum, corn, wheat and soybean. The data runs from Jan. 1960 to Aug. 2012. This study suggested that the uptrend of current super-cycles of most commodities either have ended or will end soon. The uptrend of the current super-cycles exhibits three main characteristics. First, the price volatility of all commodities has increased. Second, the comovement of oil and other commodities have strengthened. Third, oil price has been found to cause other commodities' price. For the government and industry related to commodity development and utilization, the results have two implications. First, it is necessary to understand long term trend of the commodity prices as well as the short term movement and volatility. Second, the end of the uptrend of super-cycle opens the door to expand investment in resource exploration and development and related technology. Investing to secure resources when prices are rising is a high-cost, low-profit business. The right time to invest is when prices are in recession.
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