Commodity price co-movements significantly impact investment decisions. High correlations constrain portfolio diversification and limit risk mitigation potential. While international markets often exhibit strong price linkages, understanding national-level dynamics is crucial for effective...

This paper investigates the occurrence of common price shocks (co-exceedance) across different commodities. IMF monthly price series of 11 commodities are considered over the 1980-2021 period. The analysis considers two alternative stochastic processes. The first looks for common volatility...