Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

Yoichi Tsuchiya and David McMillan

Cogent Economics & Finance, 2015, vol. 3, issue 1, 1012436

Abstract: In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultural commodity futures prices when a structural break is taken into account, there is no such relationship without allowing for a structural break. We also show that these break points, in fact, occur a few months before the recent global financial crisis. Although the previous literature broadly casts doubt on such price co-movements, our results confirm that market performance improved during the sample period.

Date: 2015
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DOI: 10.1080/23322039.2015.1012436

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