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

  • Alexandre Mathis
  • Lucrezia Reichlin

[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/doi:10.3406/ofce.1991.1252
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File URL: http://www.persee.fr/doc/ofce_0751-6614_1991_num_37_1_1252
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Article provided by Programme National Persée in its journal Observations et diagnostics économiques : 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
Contact details of provider: Web page: http://www.persee.fr/collection/ofce

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  1. Deaton, A. & Laroque, G., 1989. "On The Behavior Of Commodity Prices," Papers 145, Princeton, Woodrow Wilson School - Public and International Affairs.
  2. James M. Boughton & William H. Branson & Alphecca Muttardy, 1989. "Commodity Prices and Inflation: Evidence From Seven Large Industrial Countries," NBER Working Papers 3158, National Bureau of Economic Research, Inc.
  3. Rappoport, Peter & Reichlin, Lucrezia, 1989. "Segmented Trends and Non-stationary Time Series," Economic Journal, Royal Economic Society, vol. 99(395), pages 168-77, Supplemen.
  4. Reichlin, Lucrezia, 1989. "Structural change and unit root econometrics," Economics Letters, Elsevier, vol. 31(3), pages 231-233, December.
  5. Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
  6. Gilbert, Christopher L., 1987. "International commodity agreements: Design and performance," World Development, Elsevier, vol. 15(5), pages 591-616, May.
  7. Pindyck, Robert S. & Rotemberg, Julio., 1987. "The excess co-movement of commodity prices," Working papers 1969-87., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  9. Eichenbaum, Martin, 1983. "A rational expectations equilibrium model of inventories of finished goods and employment," Journal of Monetary Economics, Elsevier, vol. 12(2), pages 259-277.
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