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Article: On the comovement of commodity prices

TitleOn the comovement of commodity prices
Authors
KeywordsCommodity prices
Comovement
Herding
Issue Date2006
PublisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/AJAE
Citation
American Journal Of Agricultural Economics, 2006, v. 88 n. 3, p. 574-588 How to Cite?
AbstractWe present strong evidence against the excess-comovement hypothesis - that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for. We use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices. The model explains the majority of the comovements among commodities with high price correlation, and all of the comovements among those with marginal price correlation. Common movements in supply factors appear to play an important role in the observed comovements in commodity prices. © 2006 American Agricultural Economics Association.
Persistent Identifierhttp://hdl.handle.net/10722/85709
ISSN
2023 Impact Factor: 4.2
2023 SCImago Journal Rankings: 2.136
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorAi, Cen_HK
dc.contributor.authorChatrath, Aen_HK
dc.contributor.authorSong, Fen_HK
dc.date.accessioned2010-09-06T09:08:16Z-
dc.date.available2010-09-06T09:08:16Z-
dc.date.issued2006en_HK
dc.identifier.citationAmerican Journal Of Agricultural Economics, 2006, v. 88 n. 3, p. 574-588en_HK
dc.identifier.issn0002-9092en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85709-
dc.description.abstractWe present strong evidence against the excess-comovement hypothesis - that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for. We use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices. The model explains the majority of the comovements among commodities with high price correlation, and all of the comovements among those with marginal price correlation. Common movements in supply factors appear to play an important role in the observed comovements in commodity prices. © 2006 American Agricultural Economics Association.en_HK
dc.languageengen_HK
dc.publisherBlackwell Publishing, Inc. The Journal's web site is located at http://www.blackwellpublishing.com/journals/AJAEen_HK
dc.relation.ispartofAmerican Journal of Agricultural Economicsen_HK
dc.subjectCommodity pricesen_HK
dc.subjectComovementen_HK
dc.subjectHerdingen_HK
dc.titleOn the comovement of commodity pricesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0002-9092&volume=88&spage=&epage=&date=2006&atitle=On+the+comovement+of+commodity+pricesen_HK
dc.identifier.emailSong, F: fmsong@hkucc.hku.hken_HK
dc.identifier.authoritySong, F=rp01095en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1111/j.1467-8276.2006.00880.xen_HK
dc.identifier.scopuseid_2-s2.0-33746185605en_HK
dc.identifier.hkuros122490en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33746185605&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume88en_HK
dc.identifier.issue3en_HK
dc.identifier.spage574en_HK
dc.identifier.epage588en_HK
dc.identifier.isiWOS:000239208000004-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridAi, C=7003770272en_HK
dc.identifier.scopusauthoridChatrath, A=6701310668en_HK
dc.identifier.scopusauthoridSong, F=7203075605en_HK
dc.identifier.citeulike768953-
dc.identifier.issnl0002-9092-

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