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

44 Pages Posted: 22 Aug 2014

See all articles by Francesca de Nicola

Francesca de Nicola

World Bank

Pierangelo De Pace

Pomona College - Department of Economics

Manuel A. Hernandez

International Food Policy Research Institute (IFPRI)

Date Written: June 13, 2014

Abstract

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 using monthly data between 1970 and 2013. The authors study the extent and the time evolution of unconditional and conditional correlations using a uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure. The authors find that (1) the price returns of energy and agricultural commodities are highly correlated; (2) the overall level of co-movement among commodities increases 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 (3) stock market volatility is positively associated with the co-movement of price returns across markets, especially since 2007.

Keywords: co-movement, Commodities, Economic models, markets, Prices, time-series models

JEL Classification: C32, E30, Q02

Suggested Citation

de Nicola, Francesca and De Pace, Pierangelo and Hernandez, Manuel A., Co-Movement of Major Commodity Price Returns: A Time-Series Assessment (June 13, 2014). IFPRI Discussion Paper 01354, Available at SSRN: https://ssrn.com/abstract=2483973 or http://dx.doi.org/10.2139/ssrn.2483973

Francesca De Nicola (Contact Author)

World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

Pierangelo De Pace

Pomona College - Department of Economics ( email )

425 N College Avenue
Carnegie Building, Room 205
Claremont, CA 91711
United States
+19096218744 (Phone)

HOME PAGE: http://sites.google.com/site/pierangelodepace/

Manuel A. Hernandez

International Food Policy Research Institute (IFPRI) ( email )

1201 Eye St, NW,
Washington, DC 20005
United States

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