The excess comovement of commodity prices revisited

Authors: Leybourne, G.V.

https://www.scopus.com/inward/record.uri?eid=2-s2.0-0028551793&partnerID=40&md5=224ab761e5ead706c32095de068bfa0b

Journal: World Development

Volume: 22

Pages: 1747-1758

DOI: 10.1016/0305-750X(94)00081-6

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Authors: Leybourne, S.Y., Lloyd, T.A. and Reed, G.V.

Journal: World Development

Volume: 22

Issue: 11

Pages: 1747-1758

ISSN: 0305-750X

DOI: 10.1016/0305-750X(94)00081-6

It is commonly held that commodity prices have a tendency to comove over time due to the effects of microeconomic influences which are common to all commodity prices. In this paper we present a conceptual framework for the identification and testing of the excess comovement hypothesis, i.e. price correlation over and above that which can be explained by microeconomic determinants. We find previous approaches to be deficient in important respects and these deficiencies may explain the contrasting results that have been obtained. Our empirical analysis suggests that excess comovement occurs only infrequently in monthly time series. Moreover, the results cast doubt on the existence of commodity price comovement. © 1994.

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