We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commoditi

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 econom

Guided by a macroeconomic model in which commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the hist

This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural, and food commodities

My dissertation aims at developing econometric tests to study nonstationarity in panel data allowing for cross-correlations. The first chapter examines excessiv