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The Excess Co-movement of Commodity Prices Reconsidered

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Author Info
Deb, Partha
Trivedi, Pravin K
Varangis, Panayotis

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Abstract

This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1,1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960-85 and 1974-92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found. Copyright 1996 by John Wiley & Sons, Ltd.

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 11 (1996)
Issue (Month): 3 (May-June)
Pages: 275-91
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Handle: RePEc:jae:japmet:v:11:y:1996:i:3:p:275-91

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  1. Paul Cashin & C John McDermott & Alasdair Scott, 1999. "The myth of co-moving commodity prices," Reserve Bank of New Zealand Discussion Paper Series G99/9, Reserve Bank of New Zealand. [Downloadable!]
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  2. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289. [Downloadable!]
  3. Frank Ackerman & Kevin Gallagher, 2001. "Mixed Signals: Market Incentives, Recycling, and the Price Spike of 1995," Game Theory and Information 0106001, EconWPA. [Downloadable!]
  4. Larson, Donald F. & Varangis, Panos & Yabuki, Nanae, 1998. "Commodity risk management and development," Policy Research Working Paper Series 1963, The World Bank. [Downloadable!]
  5. Stacie Beck, 2001. "Autoregressive conditional heteroscedasticity in commodity spot prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 115-132. [Downloadable!]
  6. Baffes, John & Gohou, Gaston, 2005. "The co-movement between cotton and polyester prices," Policy Research Working Paper Series 3534, The World Bank. [Downloadable!]
  7. Frank Ackerman & Kevin Gallagher, . "01-02 "Mixed Signals: Market Incentives, Recycling, and the Price Spike of 1995"," GDAE Working Papers 01-02, GDAE, Tufts University. [Downloadable!]
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