Since the influential paper by Pindyck and Rotemberg (1990) [The excess co-movement of commodity prices. The Economic journal 100, 1173-1189], there is a common belief that prices of unrelated commodities tend to move together in excess of what can be explained by fundamentals. In this paper, we consider monthly data of 51 commodities from 1980 to 2008 to confirm that raw resources exhibit co-movement at high frequencies. Nonetheless, focusing on oil and six metal prices, we present evidence that the high level of correlation between cycles of commodity prices can be explained to a large extent by common shocks to inventory levels. Once the influences of supply and demand are filtered out, it appears that the links between commodity prices are rather loose. (C) 2009 Elsevier Ltd. All rights reserved.