Extreme Price Co-movement of Commodity Futures and Industrial Production Growth: An Empirical Evaluation

Press/Media: Expert Comment


This article studies whether the extreme price co-movement of commodity futures can be exploited to anticipate future industrial production (IP) growth. For this purpose, an empirical model is estimated to derive a measure that characterizes upside and downside price extremes. The derived price extremes are shown to be positively associated with IP growth over the next quarter. The findings further suggest the presence of an asymmetry: the association corresponding to downside extremes is robust whereas that of upside extremes is weaker. The findings reinforce the informational friction theory as well as those financial studies that emphasize downside risk in financial markets.

Period1 Dec 2021

Media contributions


Media contributions

    Media name/outletJ.P. Morgan Center for Commodities
    DescriptionThe Global Commodities Applied Research Digest (GCARD) is produced by the J.P. Morgan Center for Commodities (JPMCC) at the University of Colorado Denver Business School in association with Premia Education, Inc.

    The GCARD covers topical issues in the agricultural, metals and mining, and energy markets as well as in commodity finance. The selection of articles is based on how relevant articles are to the concerns of professionals engaged in the business of commodities.

    Each issue of the GCARD draws from the J.P. Morgan Center for Commodities’ (JPMCC’s) research insights and professional educational offerings for the benefit of commodity industry practitioners.

    The GCARD is supported by a prestigious set of sponsors and partners and by an accomplished Editorial Advisory Board.
    PersonsAthanasios Pantelous