On the Comovement of Commodity Prices

By Chunrong Ai, Arjun Chatrath, Frank M. Song. 2006

146 citations recorded by the source corpus.

Citations in the corpus

Commodity-price comovement and global economic activity (2020, unknown): “Some papers have examined whether there is “excess comovement” among unrelated commodities – that is, comovement in excess of what one would expect conditional on macroeconomic fundamentals (Pindyck and Rotemberg 1990; Deb, Trivedi, and Varangis 1996; and Ai, Chatrath, and Song 2006).”
Market interdependence and volatility transmission among major crops (2016, unknown): “23 We include variables widely used in previous studies on price co-movement (for example, Deb, Trivedi, and Varangis 1996; Ai, Chatrath, and Song 2006; Le Pen and Sévi 2010; Gilbert 2010; Natanelov et al. 2011), conditional also on being available on a daily, weekly, and monthly basis.”
Long-Term Drivers of Food Prices (2013, unknown): “See, for example, Ai, Chatrath, and Song (2006); Cashin, McDermott, and Scott (1999); Deb, Trivedi, and Varangis (1996); and LeyBourne, Lloyd, and Reed (1994).”
Commodity Booms and Busts (2011, unknown): “In later work Leybourne et al. (1994) and Ai et al. (2006) show that Pindyck & Rotemberg’s results can be accounted for without appeal to speculative notions or macroeconomics.”
The Impact of Index and Swap Funds on Commodity Futures Markets: Preliminary Results (2010, unknown): “Ai, Chatrath, and Song (2006) show how failure to condition on market fundamentals can lead to incorrect inferences in such tests.”