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...

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Main Authors:	de Nicola, Francesca, De Pace, Pierangelo, Hernandez, Manuel A.
Format:	Policy Research Working Paper
Language:	English en_US
Published:	World Bank, Washington, DC 2014
Subjects:	AGRICULTURAL COMMODITIES AGRICULTURAL CROPS AGRICULTURAL ECONOMICS AGRICULTURAL MARKETS AGRICULTURAL PRICE AGRICULTURAL PRICES AGRICULTURAL PRODUCTS AGRICULTURE ALTERNATIVE ENERGY APPROACH ARBITRAGE ASSET PRICES AVERAGE PRICE BALANCE BARLEY CEREAL CROPS COAL COFFEE COFFEE PRICE COFFEE PRICES COMMODITY COMMODITY PRICE COMMODITY PRICES COMMON MARKET COMPETITIVENESS CONSUMER PRICE CONSUMER PRICE INDEX CORN CROP CROPS CRUDE OIL CRUDE OIL PRICE DATES DEVELOPING COUNTRIES ENERGY MARKETS ENERGY PRICES ENERGY PRODUCTS ENERGY SOURCES EQUITIES ETHANOL EXCHANGE RATES FARMERS FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL FACTORS FINANCIAL INTEGRATION FINANCIAL MARKET FINANCIAL MARKETS FOOD CONSUMPTION FOOD MARKETS FOOD POLICY FOOD POLICY RESEARCH FOOD PRICE FOOD PRICES FOOD PRODUCTS FOOD SECURITY FOODS FUTURES GASOLINE GLOBAL BUSINESS IFPRI INCOME INFLATION INFLATION RATES INTEREST RATE INTEREST RATES INTERNATIONAL FINANCE INTERNATIONAL FOOD POLICY RESEARCH INSTITUTE INTERNATIONAL MARKETS INVENTORIES INVENTORY MAIZE MARKET CONDITIONS MARKET INFORMATION MARKET INTEGRATION MARKET PRICES MARKET RETURNS MARKET RISK MARKET VOLATILITY MONETARY POLICY NATURAL GAS NATURAL GAS PRICE OIL CRISIS OIL PRICE SPIKE OIL PRICES OIL PRODUCTION OILSEED CROPS POLITICAL ECONOMY PORTFOLIOS POWER PRICE FLUCTUATIONS PRICE LEVELS PRICE RISK PRICE SPIKES PRICE VOLATILITY PRIVATE SECTOR DEVELOPMENT PRODUCE PRODUCTION OF ETHANOL PROTEIN RAPESEED RAPESEED OIL RAPID EXPANSION RICE SORGHUM SOYBEAN SOYBEAN OIL SOYBEANS SPOT PRICE SPOT PRICES STARCH STOCK MARKET STOCK MARKETS STOCK PRICE STOCKS SUBSTITUTES SUGAR SUGARCANE SULFUR SUSTAINABLE DEVELOPMENT TREASURY TREASURY BILL VOLATILITIES WHEAT
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

id	okr-10986-18326
recordtype	oai_dc
spelling	okr-10986-183262021-04-23T14:03:44Z Co-Movement of Major Commodity Price Returns : Time-Series Assessment de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. AGRICULTURAL COMMODITIES AGRICULTURAL CROPS AGRICULTURAL ECONOMICS AGRICULTURAL MARKETS AGRICULTURAL PRICE AGRICULTURAL PRICES AGRICULTURAL PRODUCTS AGRICULTURE ALTERNATIVE ENERGY APPROACH ARBITRAGE ASSET PRICES AVERAGE PRICE BALANCE BARLEY CEREAL CROPS COAL COFFEE COFFEE PRICE COFFEE PRICES COMMODITY COMMODITY PRICE COMMODITY PRICES COMMON MARKET COMPETITIVENESS CONSUMER PRICE CONSUMER PRICE INDEX CORN CROP CROPS CRUDE OIL CRUDE OIL PRICE DATES DEVELOPING COUNTRIES ENERGY MARKETS ENERGY PRICES ENERGY PRODUCTS ENERGY SOURCES EQUITIES ETHANOL EXCHANGE RATES FARMERS FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL FACTORS FINANCIAL INTEGRATION FINANCIAL MARKET FINANCIAL MARKETS FOOD CONSUMPTION FOOD MARKETS FOOD POLICY FOOD POLICY RESEARCH FOOD PRICE FOOD PRICES FOOD PRODUCTS FOOD SECURITY FOODS FUTURES GASOLINE GLOBAL BUSINESS IFPRI INCOME INFLATION INFLATION RATES INTEREST RATE INTEREST RATES INTERNATIONAL FINANCE INTERNATIONAL FOOD POLICY RESEARCH INSTITUTE INTERNATIONAL MARKETS INVENTORIES INVENTORY MAIZE MARKET CONDITIONS MARKET INFORMATION MARKET INTEGRATION MARKET PRICES MARKET RETURNS MARKET RISK MARKET VOLATILITY MONETARY POLICY NATURAL GAS NATURAL GAS PRICE OIL CRISIS OIL PRICE SPIKE OIL PRICES OIL PRODUCTION OILSEED CROPS POLITICAL ECONOMY PORTFOLIOS POWER PRICE FLUCTUATIONS PRICE LEVELS PRICE RISK PRICE SPIKES PRICE VOLATILITY PRIVATE SECTOR DEVELOPMENT PRODUCE PRODUCTION OF ETHANOL PROTEIN RAPESEED RAPESEED OIL RAPID EXPANSION RICE SORGHUM SOYBEAN SOYBEAN OIL SOYBEANS SPOT PRICE SPOT PRICES STARCH STOCK MARKET STOCK MARKETS STOCK PRICE STOCKS SUBSTITUTES SUGAR SUGARCANE SULFUR SUSTAINABLE DEVELOPMENT TREASURY TREASURY BILL VOLATILITIES WHEAT 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. 2014-05-14T21:10:50Z 2014-05-14T21:10:50Z 2014-04 http://documents.worldbank.org/curated/en/2014/04/19446026/co-movement-major-commodity-price-returns-time-series-assessment http://hdl.handle.net/10986/18326 English en_US Policy Research Working Paper;No. 6845 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research
repository_type	Digital Repository
institution_category	Foreign Institution
institution	Digital Repositories
building	World Bank Open Knowledge Repository
collection	World Bank
language	English en_US
topic	AGRICULTURAL COMMODITIES AGRICULTURAL CROPS AGRICULTURAL ECONOMICS AGRICULTURAL MARKETS AGRICULTURAL PRICE AGRICULTURAL PRICES AGRICULTURAL PRODUCTS AGRICULTURE ALTERNATIVE ENERGY APPROACH ARBITRAGE ASSET PRICES AVERAGE PRICE BALANCE BARLEY CEREAL CROPS COAL COFFEE COFFEE PRICE COFFEE PRICES COMMODITY COMMODITY PRICE COMMODITY PRICES COMMON MARKET COMPETITIVENESS CONSUMER PRICE CONSUMER PRICE INDEX CORN CROP CROPS CRUDE OIL CRUDE OIL PRICE DATES DEVELOPING COUNTRIES ENERGY MARKETS ENERGY PRICES ENERGY PRODUCTS ENERGY SOURCES EQUITIES ETHANOL EXCHANGE RATES FARMERS FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL FACTORS FINANCIAL INTEGRATION FINANCIAL MARKET FINANCIAL MARKETS FOOD CONSUMPTION FOOD MARKETS FOOD POLICY FOOD POLICY RESEARCH FOOD PRICE FOOD PRICES FOOD PRODUCTS FOOD SECURITY FOODS FUTURES GASOLINE GLOBAL BUSINESS IFPRI INCOME INFLATION INFLATION RATES INTEREST RATE INTEREST RATES INTERNATIONAL FINANCE INTERNATIONAL FOOD POLICY RESEARCH INSTITUTE INTERNATIONAL MARKETS INVENTORIES INVENTORY MAIZE MARKET CONDITIONS MARKET INFORMATION MARKET INTEGRATION MARKET PRICES MARKET RETURNS MARKET RISK MARKET VOLATILITY MONETARY POLICY NATURAL GAS NATURAL GAS PRICE OIL CRISIS OIL PRICE SPIKE OIL PRICES OIL PRODUCTION OILSEED CROPS POLITICAL ECONOMY PORTFOLIOS POWER PRICE FLUCTUATIONS PRICE LEVELS PRICE RISK PRICE SPIKES PRICE VOLATILITY PRIVATE SECTOR DEVELOPMENT PRODUCE PRODUCTION OF ETHANOL PROTEIN RAPESEED RAPESEED OIL RAPID EXPANSION RICE SORGHUM SOYBEAN SOYBEAN OIL SOYBEANS SPOT PRICE SPOT PRICES STARCH STOCK MARKET STOCK MARKETS STOCK PRICE STOCKS SUBSTITUTES SUGAR SUGARCANE SULFUR SUSTAINABLE DEVELOPMENT TREASURY TREASURY BILL VOLATILITIES WHEAT
spellingShingle	AGRICULTURAL COMMODITIES AGRICULTURAL CROPS AGRICULTURAL ECONOMICS AGRICULTURAL MARKETS AGRICULTURAL PRICE AGRICULTURAL PRICES AGRICULTURAL PRODUCTS AGRICULTURE ALTERNATIVE ENERGY APPROACH ARBITRAGE ASSET PRICES AVERAGE PRICE BALANCE BARLEY CEREAL CROPS COAL COFFEE COFFEE PRICE COFFEE PRICES COMMODITY COMMODITY PRICE COMMODITY PRICES COMMON MARKET COMPETITIVENESS CONSUMER PRICE CONSUMER PRICE INDEX CORN CROP CROPS CRUDE OIL CRUDE OIL PRICE DATES DEVELOPING COUNTRIES ENERGY MARKETS ENERGY PRICES ENERGY PRODUCTS ENERGY SOURCES EQUITIES ETHANOL EXCHANGE RATES FARMERS FEDERAL RESERVE FEDERAL RESERVE BANK FINANCIAL FACTORS FINANCIAL INTEGRATION FINANCIAL MARKET FINANCIAL MARKETS FOOD CONSUMPTION FOOD MARKETS FOOD POLICY FOOD POLICY RESEARCH FOOD PRICE FOOD PRICES FOOD PRODUCTS FOOD SECURITY FOODS FUTURES GASOLINE GLOBAL BUSINESS IFPRI INCOME INFLATION INFLATION RATES INTEREST RATE INTEREST RATES INTERNATIONAL FINANCE INTERNATIONAL FOOD POLICY RESEARCH INSTITUTE INTERNATIONAL MARKETS INVENTORIES INVENTORY MAIZE MARKET CONDITIONS MARKET INFORMATION MARKET INTEGRATION MARKET PRICES MARKET RETURNS MARKET RISK MARKET VOLATILITY MONETARY POLICY NATURAL GAS NATURAL GAS PRICE OIL CRISIS OIL PRICE SPIKE OIL PRICES OIL PRODUCTION OILSEED CROPS POLITICAL ECONOMY PORTFOLIOS POWER PRICE FLUCTUATIONS PRICE LEVELS PRICE RISK PRICE SPIKES PRICE VOLATILITY PRIVATE SECTOR DEVELOPMENT PRODUCE PRODUCTION OF ETHANOL PROTEIN RAPESEED RAPESEED OIL RAPID EXPANSION RICE SORGHUM SOYBEAN SOYBEAN OIL SOYBEANS SPOT PRICE SPOT PRICES STARCH STOCK MARKET STOCK MARKETS STOCK PRICE STOCKS SUBSTITUTES SUGAR SUGARCANE SULFUR SUSTAINABLE DEVELOPMENT TREASURY TREASURY BILL VOLATILITIES WHEAT de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A. Co-Movement of Major Commodity Price Returns : Time-Series Assessment
relation	Policy Research Working Paper;No. 6845
description	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.
format	Publications & Research :: Policy Research Working Paper
author	de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A.
author_facet	de Nicola, Francesca De Pace, Pierangelo Hernandez, Manuel A.
author_sort	de Nicola, Francesca
title	Co-Movement of Major Commodity Price Returns : Time-Series Assessment
title_short	Co-Movement of Major Commodity Price Returns : Time-Series Assessment
title_full	Co-Movement of Major Commodity Price Returns : Time-Series Assessment
title_fullStr	Co-Movement of Major Commodity Price Returns : Time-Series Assessment
title_full_unstemmed	Co-Movement of Major Commodity Price Returns : Time-Series Assessment
title_sort	co-movement of major commodity price returns : time-series assessment
publisher	World Bank, Washington, DC
publishDate	2014
url	http://documents.worldbank.org/curated/en/2014/04/19446026/co-movement-major-commodity-price-returns-time-series-assessment http://hdl.handle.net/10986/18326
_version_	1764440632644861952

Co-Movement of Major Commodity Price Returns : Time-Series Assessment

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