Amidst a sharp rise in commodity investing, many have asked whether
commodities nowadays move in sync with traditional financial
assets. The authors provide evidence that challenges this idea.
Using dynamic correlation and recursive co-integration techniques,
they found that the relation between the returns on investable
commodity and U.S. equity indices has not changed significantly in
the last fifteen years. The authors also find no evidence of any
secular increase in co-movement between the returns on commodity
and equity investments during periods of extreme returns.
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