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Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break

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  • Yoichi Tsuchiya
  • David McMillan

Abstract

In this study, we investigate the existence of long-term co-movements among the prices of commodity futures contracts. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long-term relationship among agricultural and among non-agricultural commodity futures prices when a structural break is taken into account, there is no such relationship without allowing for a structural break. We also show that these break points, in fact, occur a few months before the recent global financial crisis. Although the previous literature broadly casts doubt on such price co-movements, our results confirm that market performance improved during the sample period.

Suggested Citation

  • Yoichi Tsuchiya & David McMillan, 2015. "Linkages among commodity futures prices in the recent financial crisis: An application of cointegration tests with a structural break," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1012436-101, December.
    • Handle: RePEc:taf:oaefxx:v:3:y:2015:i:1:p:1012436
    DOI: 10.1080/23322039.2015.1012436
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    References listed on IDEAS

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    Cited by:

    1. Kucher, Oleg & McCoskey, Suzanne, 2017. "The long-run relationship between precious metal prices and the business cycle," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 263-275.

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