국제상품시장의 가격 동조화와 변동성 전이효과

Abstract

Recent observation of the international commodity markets reveals frequent and pronounced volatility and comovement behavior of commodity prices. This paper provides an empirical assessment of the comovement behavior using the factor analysis and the cointegration tests. The empirical analysis evidences common factors and common stochastic trends, which are associated with price comovement. Also, common persistence and volatility transmission in the commodity markets are analyzed using the multivariate GARCH model. The volatility spillover from the grain market to the energy and metal markets indicates that the role of the grain market becomes important in the international commodity markets.