Kazuhiko, OHASHI; Tatsuyoshi, OKIMOTO - Research Institute of Economy, Trade and Industry (RIETI) - 2013
In this paper, we investigate whether excess correlations among seemingly unrelated commodity returns have increased recently, and if so, how they were achieved. To this end, we generalize the model of excess comovement, originated by Pindyck and Rotemberg (1990) and extended by Deb, Trivedi,...