The Excess Co-movement of Commodity Prices

Robert Pindyck and Julio Rotemberg

Economic Journal, 1990, vol. 100, issue 403, 1173-89

Abstract: This paper tests and confirms the existence of a puzzling phenomenon--the prices of largely unrelated raw commodities have a persistent tendency to move together. The authors show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current, or expected future values of macroeconomic variables such as inflation, industrial production, interest rates, and exchange rates. These results are a rejection of the standard competitive model of commodity price formation with storage. Copyright 1990 by Royal Economic Society.

Date: 1990
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Related works:
Working Paper: The Excess Co-Movement of Commodity Prices (1988)
Working Paper: The excess co-movement of commodity prices (1987)
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