Commodity prices at the quantiles

Abstract

Abstract Commodity price stationarity grants good predictability and effective policy intervention. The analysis at the quantiles shows that prices are stationary at the lower but not at the higher quantiles. The non-stationarity of commodity prices is often related to the behavior of the US exchange rate series. Quantile regression estimates show changing coefficients across quantiles. This signals the presence of heteroscedasticity in the series. Stationarity holds throughout once the series are corrected for heteroscedasticity, exchange rate included. This finding weakens the claim that exchange rates cause persistence in commodity prices. The price-exchange rate correlation mirrors their common heteroscedasticity. The correlation declines in the cleaned/homoscedastic series.