Measured over long horizons, the correlation between stocks and commodities is close to zero. However, it varies widely over time. Using historical data extending back to 1960 we study the stock-commodity correlation and show: (1) Stock-commodity correlation has a business-cycle component: it is...

Measured over long horizons, the correlation between stocks and commodities is close to zero. However, it varies widely over time. Using historical data extending back to 1960 we study the stock-commodity correlation and show: (1) stock-commodity correlation has a business cycle component: it is...

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty boxʺ category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...