20 Pages Posted: 10 Feb 2006
Date Written: December 1999
There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measures the proportion of time that the prices of two commodities are concurrently in the same boom period or same slump period. Using data on the prices of several unrelated commodities, the paper finds no evidence of comovement in commodity prices. The results carry an important policy implication, as the study provides no support for earlier claims of irrational trading behavior by participants in world commodity markets.
Keywords: Commodity prices, concordance, comovement
JEL Classification: E32, Q11, O13
Suggested Citation: Suggested Citation
Cashin, Paul Anthony and McDermott, C. John and Scott, Alasdair M., The Myth of Comoving Commodity Prices (December 1999). IMF Working Paper, Vol. , pp. 1-20, 1999. Available at SSRN: https://ssrn.com/abstract=880824
By John Baffes