Mizon, Grayham E Safford, J Claire Thomas, Stephen H
Abstract
This paper rejects the hypothesis that relative commodity price changes are normally distributed using monthly U.K. data from 1962 to 1983. The presence of skewness in the distribution of price changes across commodities suggest that the asymmetric price response hypothesis may be a good description of the relation between the moments of the distribution of price changes. The authors use Granger causality tests to investigate this hypothesis, but it is not supported by the data. They also examine the major time-series features of the individual price series. Copyright 1990 by The London School of Economics and Political Science.
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Article provided by London School of Economics and Political Science in its journal Economica.
Volume (Year): 57 (1990) Issue (Month): 226 (May) Pages: 249-62 Download reference. The following formats are available: HTML
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