Title: The excess comovement of commodity prices revisited
Abstract: It is commonly held that commodity prices have a tendency to comove over time due to the effects of microeconomic influences which are common to all commodity prices. In this paper we present a conceptual framework for the identification and testing of the excess comovement hypothesis, i.e. price correlation over and above that which can be explained by microeconomic determinants. We find previous approaches to be deficient in important respects and these deficiencies may explain the contrasting results that have been obtained. Our empirical analysis suggests that excess comovement occurs only infrequently in monthly time series. Moreover, the results cast doubt on the existence of commodity price comovement.
Publication Year: 1994
Publication Date: 1994-11-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 42
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