The Excess Co-Movement of Commodity Prices

Robert Pindyck and Julio Rotemberg

No 2671, NBER Working Papers from National Bureau of Economic Research, Inc

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. We 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.

Date: 1988-07
Note: ME
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Citations: View citations in EconPapers (18)

Published as The Economic Journal, Dec. 1990

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