Evolution of comovement between commodity futures: does biofuels matter?

Theoretical and Applied Economics

卷:XXI

Dinçer DEDEOĞLU¹ 

[1] Bahcesehir University, Istanbul, Turkey;

关键词: wavelet analysis;    comovement;    energy futures;    agricultural commodity futures;    biofuels;   

DOI  :  

来源: DOAJ

【 摘 要 】

In this study, the linkages of commodity futures are investigated for theperiod 1988:M1-2012:M4. Monthly futures prices for nine commodities areutilized throughout the empirical analyses. As the empirical approach, waveletanalysis is chosen to investigate the comovement of commodity futures. By usingwavelet based measure of correlation, the correlation between commodity futuresare determined both in time and frequency domain. The results indicate thatcorrelations are low for short, medium and long-run. I also find evidence of atendency towards an increase in correlations after 2008. This can be the result ofthe global crisis that has an effect on feedstock costs and energy input prices byputting front a channel through biofuels that links energy and agriculturalcommodities by increasing the correlation between these commodities after 2008.

【 授权许可】

Unknown