Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production

Julien Chevallier and Florian Ielpo

Australian Economic Review, 2014, vol. 47, issue 2, 189-198

Abstract: type="main" xml:lang="en">

This article provides a case-study of the cross-market linkages at stake between commodities, bonds, industrial production and inflation. We show that one cointegration relationship exists between these variables during 1993–2011 and by taking into account structural breaks.

Date: 2014
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