Abstract

http://ssrn.com/abstract=439593
 
 

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The Excess Co-Movement of Commodity Prices


Robert S. Pindyck


Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Julio J. Rotemberg


Harvard University - Business, Government and the International Economy Unit; National Bureau of Economic Research (NBER)

July 1988

NBER Working Paper No. w2671

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.

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Date posted: July 9, 2004  

Suggested Citation

Pindyck, Robert S. and Rotemberg, Julio J., The Excess Co-Movement of Commodity Prices (July 1988). NBER Working Paper No. w2671. Available at SSRN: http://ssrn.com/abstract=439593

Contact Information

Robert S. Pindyck (Contact Author)
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
50 Memorial Drive, E52-450
Cambridge, MA 02142
United States
617-253-6641 (Phone)
617-258-6855 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Julio J. Rotemberg
Harvard University - Business, Government and the International Economy Unit ( email )
Cambridge, MA
United States
617-495-1015 (Phone)
617-496-5994 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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