Co-Movement of Major Commodity Price Returns : Time-Series Assessment
This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a mult...
| Main Authors: | , , |
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
| Published: |
World Bank, Washington, DC
2014
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| Subjects: | |
| Online Access: | http://documents.worldbank.org/curated/en/2014/04/19446026/co-movement-major-commodity-price-returns-time-series-assessment http://hdl.handle.net/10986/18326 |
| Summary: | This paper provides a comprehensive
analysis of the degree of co-movement among the nominal
price returns of 11 major energy, agricultural and food
commodities based on monthly data between 1970 and 2013. A
uniform-spacings testing approach, a multivariate dynamic
conditional correlation model and a rolling regression
procedure are used to study the extent and the
time-evolution of unconditional and conditional
correlations. The results indicate that (i) the price
returns of energy and agricultural commodities are highly
correlated; (ii) the overall level of co-movement among
commodities increased in recent years, especially between
energy and agricultural commodities and in particular in the
cases of maize and soybean oil, which are important inputs
in the production of biofuels; and (iii) particularly after
2007, stock market volatility is positively associated with
the co-movement of price returns across markets. |
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