Cross‐Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production

10 Pages Posted: 28 May 2014

See all articles by Julien Chevallier

Julien Chevallier

University of Paris 8 Vincennes-Saint Denis

Florian Ielpo

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES); Unigestion

Date Written: June 2014

Abstract

This article provides a case‐study of the cross‐market linkages at stake between commodities, bonds, industrial production and inflation. We show that one cointegration relationship exists between these variables during 1993–2011 and by taking into account structural breaks.

Suggested Citation

Chevallier, Julien and Ielpo, Florian, Cross‐Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production (June 2014). Australian Economic Review, Vol. 47, Issue 2, pp. 189-198, 2014. Available at SSRN: https://ssrn.com/abstract=2442574 or http://dx.doi.org/10.1111/1467-8462.12050

Julien Chevallier (Contact Author)

University of Paris 8 Vincennes-Saint Denis ( email )

Paris
France

Florian Ielpo

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) ( email )

106-112 Boulevard de l'hopital
106-112 Boulevard de l'Hôpital
Paris Cedex 13, 75647
France

Unigestion ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

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