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The Excess Co-movement of Commodity Prices Reconsidered

Author

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  • Deb, Partha
  • Trivedi, Pravin K
  • Varangis, Panayotis

Abstract

This paper provides an empirical reconsideration of evidence for excess co-movement of commodity prices within the framework of univariate and multivariate GARCH(1,1) models. Alternative formulations of zero excess co-movement are provided, and corresponding score and likelihood ratio tests are developed. Monthly time series data for two sample periods, 1960-85 and 1974-92, on up to nine commodities are used. In contrast to earlier work, only weak evidence of excess co-movement is found. Copyright 1996 by John Wiley & Sons, Ltd.

Suggested Citation

  • Deb, Partha & Trivedi, Pravin K & Varangis, Panayotis, 1996. "The Excess Co-movement of Commodity Prices Reconsidered," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 275-291, May-June.
    • Handle: RePEc:jae:japmet:v:11:y:1996:i:3:p:275-91
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