On the Comovement of Commodity Prices
用库存和收成数据拟合局部均衡模型，发现商品价格共同波动主要由基本面因素解释，反驳了过度共同波动假说。
We present strong evidence against the excess‐comovement hypothesis—that the prices of commodities move together beyond what can be explained by fundamentals. Prior studies employ broad macroeconomic indicators to explain common price movements, and potentially correlated fundamentals are not controlled for. We use inventory and harvest data to fit a partial equilibrium model that more effectively captures the variation in individual prices. The model explains the majority of the comovements among commodities with high price correlation, and all of the comovements among those with marginal price correlation. Common movements in supply factors appear to play an important role in the observed comovements in commodity prices.