Extraction and Characterization of Price Cycles in the Indian Commodity Market

Abstract

Characterization of classical and deviation cycles in commodity prices is significant for people involved in the commodity market trade. This paper borrows techniques employed in business cycle literature to extract both classical and deviation cycles present in prices of four agricultural (sugar, tea, rubber, and cotton) and five metal commodities (copper, tin, zinc, lead, and aluminium) traded in the Indian commodity market. Bry-Boschan procedure was used to date the classical cycles; whereas three filtering techniques were used to extract the deviation cycles. Parameters such as the number of cycles as well as the average duration of booms and slumps in classical cycles and deviation cycles were determined and reported. Parameters of the classical cycles were compared with corresponding parameters of cycles in prices of the respective commodities traded in the international market.