Commodity financialisation and price co-movement: Lessons from two centuries of evidence

Adam Zaremba (), Zaghum Umar and Mateusz Mikutowski

Finance Research Letters, 2021, vol. 38, issue C

Abstract: The recent development of financialisation is argued to have led to an unprecedented rise in the dependence between commodity returns. Using 170 years’ worth of data and several novel dependency measures, we demonstrate that the recent cross-commodity correlations are neither unprecedented nor unique. Similar episodes have occurred multiple times throughout history, even as far back as the 19th century, and these events usually coincide with major economic disruptions. There is no long-run increase in the co-movement of commodity returns. Our results cast doubt on the link between the recent peak in cross-commodity correlations and market financialisation.

Keywords: Financialisation; Commodity markets; Co-movement; Correlation; Gerber statistic; Early security prices (search for similar items in EconPapers)
JEL-codes: G12 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319308402

DOI: 10.1016/j.frl.2020.101492

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