The myth of co-moving commodity prices

Paul Cashin (), Christopher McDermott and Alasdair Scott
Additional contact information
Alasdair Scott: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No G99/9, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of co-movement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in the same boom period or same slump period. Using data on the prices of several unrelated commodities, the paper finds no evidence of co-movement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behaviour by participants in world commodity markets.

JEL-codes: E32 O13 Q11 (search for similar items in EconPapers)
Pages: 19p
Date: 1999-12
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Citations: View citations in EconPapers (46)

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Related works:
Working Paper: The Myth of Comoving Commodity Prices (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:1999/09

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