ABSTRACT
Recent studies have investigated the possibility of shifting trends and breaks in international commodity price series. For example, Cuddington (1992) examines trends in a number of individual commodity price series, while Ardeni and Wright (1992), Cuddington and Urza (1989), Sapsford (1985) and Reinhart and Wickham (1994) evaluate trends in aggregate commodity price indices. Other studies including Bannerjee et al. (1992), Perron (1989) and Zivot and Andrews (1992) analyze breaks in crude oil prices as well as macroeconomic variables, such as gross national produce (GNP), industrial production, employment, wages, interest rates, common stock prices, etc. Obviously, the results of this research have considerable implications for international policy making concerning commodity price trends, cyclicality, and instability.
