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- W2910965617 abstract "Abstract Daily price co-movement across different commodity classes and its key determinant are investigated in this paper. Using co-integration and Granger causality analysis, we identify a common liquidity factor which drives prices of five commodities (oil, silver, gold, corn, live cattle) to move along a common trend. When the market becomes more (less) liquid, all commodity prices tend to move up (down) in the same direction. As a result, such liquidity-driven price co-movement across different commodity classes is likely to generate aggregate price shocks and amplify inflation volatility. As a practical implication of our findings, policy makers ought to be able to draw valuable lessons from monitoring daily commodity liquidity dynamics as a timely bellwether for incipient inflation and to more effectively control inflation risk." @default.
- W2910965617 created "2019-01-25" @default.
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- W2910965617 date "2019-09-01" @default.
- W2910965617 modified "2023-09-29" @default.
- W2910965617 title "A key determinant of commodity price Co-movement: The role of daily market liquidity" @default.
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- W2910965617 doi "https://doi.org/10.1016/j.econmod.2019.01.004" @default.
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