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Primary commodity prices: Co-movements, common factors and fundamentals · Study

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ArticlePrimary commodity prices: Co-movements, common factors and fundamentals

Joseph P. Byrne2012

Article2012

Primary commodity prices: Co-movements, common factors and fundamentals

Joseph P. Byrne · Giorgio Fazio · Norbert Fiess

220 citations·0/0 files stored·Journal of Development Economics

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Market Dynamics and Volatility Monetary Policy and Economic Impact Economics of Agriculture and Food Markets

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References

1988Statistical analysis of cointegration vectors 1980Macroeconomics and Reality 1994Investment Under Uncertainty.1994Investment under Uncertainty 1998Generalized impulse response analysis in linear multivariate models 1961Rational Expectations and the Theory of Price Movements 1996Impulse response analysis in nonlinear multivariate models 1987Expected stock returns and volatility

Cited by

2018High-frequency volatility connectedness between the US crude oil market and China's agricultural commodity markets 2016Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment 2015Global Oil Prices and Local Food Prices: Evidence from East Africa 2019Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1 2015Panicca: Panic on Cross‐Section Averages 2017The dependence structure across oil, wheat, and corn: A wavelet-based copula approach using implied volatility indexes

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Year2012

Typearticle

Published2012-09-20

VenueJournal of Development Economics

ISSN-L0304-3878

Languageen

Citations220

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jdeveco.2012.09.002

openalex_workW2047914636

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2016Co-movements between crude oil and food prices: A post-commodity boom perspective

2018The time-varying linkages between global oil market and China's commodity sectors: Evidence from DCC-GJR-GARCH analyses