RIEBセミナー RIEB Seminar

日時 2013年11月20日(水)午後3時00分から
会場 神戸大学経済経営研究所 会議室(新館2階)
対象 教員、院生、および同等の知識をお持ちの方
使用言語 日本語
備考 論文のコピーは共同研究推進室にご用意しております。

3:00pm~5:00pm

報告者 沖本 竜義
所属 一橋大学大学院国際企業戦略研究科
論題 Increasing Trends in the Excess Comovement of Commodity Prices
概要 In this paper, we investigate whether and how excess correlations among seemingly unrelated commodity returns have increased recently. To this end, we generalize the model of excess comovement, originated by Pindyck and Rotemberg (1990) and extended by Deb, Trivedi, and Varangis (1996), to develop the STDCC model that can capture long-run trends and short-run dynamics in excess comovement. Using commodit returns data from 1983 to 2011, we find significant increasing long-run trends in excess comovement have appeared since around 2000 in all pairs of agricultural raw materials, beverages, metals, and oils. We confirm that these increasing trends are robust and are not artifacts of the recent financial crisis or changes in the effects of common macroeconomic factors. Moreover, unlike the results above, we find no significant increasing trends in excess comovements among off-index commodity returns. Those findings provide additional evidence for the recent debates about the effect of financialization on commodity-return correlations.