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Cross‐Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production
Author(s) -
Chevallier Julien,
Ielpo Florian
Publication year - 2014
Publication title -
australian economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.308
H-Index - 29
eISSN - 1467-8462
pISSN - 0004-9018
DOI - 10.1111/1467-8462.12050
Subject(s) - cointegration , inflation (cosmology) , economics , production (economics) , industrial production , bond , monetary economics , econometrics , macroeconomics , finance , physics , theoretical physics
This article provides a case‐study of the cross‐market linkages at stake between commodities, bonds, industrial production and inflation. We show that one cointegration relationship exists between these variables during 1993–2011 and by taking into account structural breaks .