This paper offers a framework aimed at improving our knowledge of those elements driving commodity prices. We employ a smooth transition vector autoregressive model suitable for testing the theoretical hypothesis derived from a heterogeneous agent model. The empirical methodology allows distinguishing among variables that influence long run prices –obtaining a “fundamental” price; and the mechanisms that generate, strengthen and correct short run deviations with respect to that equilibrium. The results suggest that high discrepancies between spot and fundamental prices tend to be corrected relatively fast, while small misalignments tend to persist over time without endogenous correcting forces taking place. JEL Classification Numbers: C32, D84, Q11. We are especially grateful to Eric Santor for his insightful comments as discussant in the Workshop “Commodity prices: drivers and economic impacts” organized by Bank of England and European Central Bank (London, February 2009). We thank to José Fanelli, Gustavo Cañonero, Federico Traverso, Horacio Aguirre, Agusto Mercadier and Fernando Toledo for helpful comments and discussion. An extensive version of this paper is available as Central Bank of Argentina Working Paper 44/2009.