Piecewise linear trends and cycles in primary commodity prices

•The evolution of primary commodity prices has always been a subject of debate in development and international economics.•A branch of the literature uses filters to isolate the trend and cycle of the primary commodity prices to unveil their properties.•Following Yamada and Yoon (2014), we use the so-called l1-filter to study the medium-to-long run behavior of commodity prices.•The filter produces piecewise linear trends and cycles. Turning points of the estimated components are easy to identify. The filtering methodology can be of great value to understand important events in the evolution of commodity prices. We extend the methodology put forward in Yamada and Yoon (2014, Journal of International Money and Finance, 42(C), 193–207) to analyze the trend and cyclical behavior of relative primary commodity prices. These authors propose the use of the so-called ℓ1-filter that renders piecewise linear trends of the underlying data. Our focus on the calibration of such filter and its implications for the empirical analysis of primary commodity prices, especially the interpretation given to the resulting trend. We also illustrate how suitably calibrated filters may be used to compute piecewise linear (super) cycles, whose turning points are easy to identify.