TY  - JOUR
AU  - Pindyck,Robert S.
AU  - Rotemberg,Julio J.
TI  - The Excess Co-Movement of Commodity Prices
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2671
PY  - 1988
Y2  - July 1988
UR  - http://www.nber.org/papers/w2671
L1  - http://www.nber.org/papers/w2671.pdf
N1  - Author contact info:
Robert S. Pindyck
MIT Sloan School of Management
100 Main Street, E62-522
Cambridge, MA  02142
Tel: 617/253-6641
Fax: 617/258-6855
E-Mail: RPINDYCK@MIT.EDU

Julio J. Rotemberg
Graduate School of Business
Harvard University, Morgan Hall
Soldiers Field
Boston, MA  02163
Tel: 617/495-1015
Fax: 617/496-5994
E-Mail: jrotemberg@hbs.edu
AB  - This paper tests and confirms the existence of a puzzling phenomenon - the prices of largely unrelated raw commodities have a persistent tendency to move together. We show that this comovement of prices is well in excess of anything that can be explained by the common effects of past, current, or expected future values of macroeconomic variables such as inflation, industrial production, interest rates, and exchange rates. These results are a rejection of the standard competitive model of commodity price formation with storage.
ER  -