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The Myth of Comoving Commodity Prices

By: Mr.Paul Cashin,Mr.C. John McDermott,Mr.Alasdair Scott

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The Myth of Comoving Commodity Prices

By: Mr.Paul Cashin,Mr.C. John McDermott,Mr.Alasdair Scott

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.

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Page Count

21

Publisher

International Monetary Fund

Published Date

ISBN 10

1451858329

ISBN 13

9781451858327

Booms and Slumps in World Commodity Prices

By: Mr.Paul Cashin,Mr.C. John McDermott,Mr.Alasdair Scott

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Booms and Slumps in World Commodity Prices

By: Mr.Paul Cashin,Mr.C. John McDermott,Mr.Alasdair Scott

This paper examines the duration and magnitude of commodity-price cycles. It finds that for most commodities, price slumps last longer than price booms. How far prices fall in a slump is found to be slightly larger than how far they rebound in a subsequent boom. There is little evidence of a consistent ‘shape’ to commodity-price cycles. For all commodities, the probability of an end to a slump in prices is independent of the time already spent in the slump, and for most commodities, the probability of an end to a boom in prices is independent of the time already spent in the boom.

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Age

Page Count

26

Publisher

International Monetary Fund

Published Date

ISBN 10

1451857292

ISBN 13

9781451857290

Book's by C. John McDermott

The Myth of Comoving Commodity Prices

The Myth of Comoving Commodity Prices

Booms and Slumps in World Commodity Prices

Booms and Slumps in World Commodity Prices

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