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The Excess Co-movement of Commodity Prices Reconsidered

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  • Deb, Partha
  • Trivedi, Pravin K
  • Varangis, Panayotis

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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Bibliographic Info

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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Cited by:
  1. repec:ipg:wpaper:19 is not listed on IDEAS
  2. Gardebroek, Cornelis & Hernandez, Manuel A. & Robles, Miguel, 2014. "Market interdependence and volatility transmission among major crops:," IFPRI discussion papers 1344, International Food Policy Research Institute (IFPRI).
  3. Matteo Manera & Marcella Nicolini & Ilaria Vignati, 2012. "Returns in commodities futures markets and financial speculation: a multivariate GARCH approach," Quaderni di Dipartimento 170, University of Pavia, Department of Economics and Quantitative Methods.
  4. Le Pen, Yannick & Sévi, Benoît, 2010. "Revisiting the excess co-movements of commodity prices in a data-rich environment," Economics Papers from University Paris Dauphine 123456789/6800, Paris Dauphine University.
  5. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-019, Department of Research, Ipag Business School.
  6. Massol, O. & Banal-Estanol, A., 2012. "Export diversification and resource-based industrialization: the case of natural gas," Working Papers 12/01, Department of Economics, City University London.
  7. 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.
  8. Larson, Donald F. & Varangis, Panos & Yabuki, Nanae, 1998. "Commodity risk management and development," Policy Research Working Paper Series 1963, The World Bank.
  9. 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.
  10. Frank Ackerman & Kevin Gallagher, 2001. "Mixed Signals: Market Incentives, Recycling, and the Price Spike of 1995," Game Theory and Information 0106001, EconWPA.
  11. Philippe Charlot & Vêlayoudom Marimoutou, 2014. "On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree," Working Papers hal-00980125, HAL.
  12. Fernandez, Viviana, 2012. "Trends in real commodity prices: How real is real?," Resources Policy, Elsevier, vol. 37(1), pages 30-47.
  13. 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.
  14. Baffes, John, 2011. "Cotton, biotechnology, and economic development," Policy Research Working Paper Series 5896, The World Bank.
  15. Stacie Beck, 2001. "Autoregressive conditional heteroscedasticity in commodity spot prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(2), pages 115-132.
  16. OHASHI Kazuhiko & OKIMOTO Tatsuyoshi, 2013. "Increasing Trends in the Excess Comovement of Commodity Prices," Discussion papers 13048, Research Institute of Economy, Trade and Industry (RIETI).
  17. Baffes, John, 2009. "More on the energy / non-energy commodity price link," Policy Research Working Paper Series 4982, The World Bank.
  18. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
  19. Baffes, John & Gohou, Gaston, 2005. "The co-movement between cotton and polyester prices," Policy Research Working Paper Series 3534, The World Bank.

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