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...

This paper examines the impact of global liquidity on global commodity prices and asset prices in some major developing and developed economies. Specifically, the global liquidity on global commodity prices and asset prices is investigated using data from six major developing and emerging...