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The Excess Co-Movement of Commodity Prices / Robert S. Pindyck, Julio J. Rotemberg.
- Format:
- Book
- Author/Creator:
- Pindyck, Robert S.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w2671.
- NBER working paper series no. w2671
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1988.
- Summary:
- 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.
- Notes:
- Print version record
- July 1988.
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