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

de Nicola, Francesca ; De Pace, Pierangelo ; Hernandez, Manuel A.

World Bank, Washington, DC

关键词: AGRICULTURAL COMMODITIES;    AGRICULTURAL CROPS;    AGRICULTURAL ECONOMICS;    AGRICULTURAL MARKETS;    AGRICULTURAL PRICE;   

DOI  :  10.1596/1813-9450-6845
RP-ID  :  WPS6845

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper provides a comprehensiveanalysis of the degree of co-movement among the nominalprice returns of 11 major energy, agricultural and foodcommodities based on monthly data between 1970 and 2013. Auniform-spacings testing approach, a multivariate dynamicconditional correlation model and a rolling regressionprocedure are used to study the extent and thetime-evolution of unconditional and conditionalcorrelations. The results indicate that (i) the pricereturns of energy and agricultural commodities are highlycorrelated; (ii) the overall level of co-movement amongcommodities increased in recent years, especially betweenenergy and agricultural commodities and in particular in thecases of maize and soybean oil, which are important inputsin the production of biofuels; and (iii) particularly after2007, stock market volatility is positively associated withthe co-movement of price returns across markets.