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Prix des matières premières : un test sur l'hypothèse d'efficience des marchés

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  • Alexandre Mathis
  • Lucrezia Reichlin

Abstract

[eng] The aim of this study is to test the joint hypothesis of rational expectations and market efficiency in commodity price determination. The test is based on the analysis of co-movements between commodity prices. It takes into account the specific dynamics of these series, especially the presence of large spikes. Several series exhibit co-movements in excess of what can be explained by their relationship with selected aggregate demand variables. [fre] Cette étude vise à tester les hypothèses de rationalité des anticipations et d'efficience des marchés dans la détermination des prix des matières premières. Le test proposé est fondé sur l'analyse des mouvements communs aux différents prix ; il prend en compte la dynamique particulière de ces séries, notamment la présence de pics importants. Notre analyse révèle la présence de tendances communes à certains prix, qui ne sont pas expliquées par l'influence des variables macroéconomiques.

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File URL: http://dx.doi.org/10.3406/ofce.1991.1252
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File URL: http://www.persee.fr/articleAsPDF/ofce_0751-6614_1991_num_37_1_1252/ofce_0751-6614_1991_num_37_1_1252.pdf?mode=light
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Bibliographic Info

Article provided by Programme National Persée in its journal Revue de l'OFCE.

Volume (Year): 37 (1991)
Issue (Month): 1 ()
Pages: 123-138

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Handle: RePEc:prs:rvofce:ofce_0751-6614_1991_num_37_1_1252

Note: DOI:10.3406/ofce.1991.1252
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Web page: http://www.persee.fr/web/revues/home/prescript/revue/ofce

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Cited by:
  1. Labys, W. C. & Achouch, A. & Terraza, M., 1999. "Metal prices and the business cycle," Resources Policy, Elsevier, vol. 25(4), pages 229-238, December.
  2. Walter C. Labys, 2003. "New Directions in the Modeling and Forecasting of Commodity Markets," Mondes en développement, De Boeck Université, vol. 122(2), pages 3-19.

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