Prix des matières premières : un test sur l'hypothèse d'efficience des marchés
[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.
Volume (Year): 37 (1991)
Issue (Month): 1 ()
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References listed on IDEAS
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- Angus Deaton & Guy Laroque, 1992.
"On the Behaviour of Commodity Prices,"
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- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Pindyck, Robert S & Rotemberg, Julio J, 1990. "The Excess Co-movement of Commodity Prices," Economic Journal, Royal Economic Society, vol. 100(403), pages 1173-1189, December.
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- 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. Full references (including those not matched with items on IDEAS)
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