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Working Paper 205 - Volatility and Co-movement in Commodity Prices- New Evidence

06-Aug-2014

Erratic commodity price (co)-movement during the great financial crisis of the 2000s rekindled interest in understanding the driving forces behind serial dependence and price co-movements across commodities. Recent contributions to the literature include; Fan (2012); Harri et. al. (2009); Nazlioglu and Soytas (2011, 2012, 2013).

Unlike the established literature on commodity price dynamics, recent works focused on the impact of fluctuations in the prices of strategic commodities- such as crude oil- on the prices of other commodity counterparts. The older literature, which included seminal contributions from Cooper and Lawrence (1975), Van Duyne (1979), Deaton and Laroque (1989 & 1996), and Pindyck and Rotemberg (1990), explored the impact of macroeconomic stimuli on commodity price co-movement. In the current literature, very little effort is devoted to explaining joint commodity price movements.

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