Co-movement of major energy, agricultural, and food commodity price returns: A time-series assessment
| Autor: | Francesca de Nicola, Pierangelo De Pace, Manuel A. Hernandez |
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| Rok vydání: | 2016 |
| Předmět: |
Estimation
Economics and Econometrics Multivariate statistics Financial economics business.industry 020209 energy 05 social sciences Commodity 02 engineering and technology Regression General Energy Biofuel Agriculture 0502 economics and business 0202 electrical engineering electronic engineering information engineering Economics Econometrics Production (economics) 050207 economics business Energy (signal processing) |
| Zdroj: | Energy Economics. 57:28-41 |
| ISSN: | 0140-9883 |
| DOI: | 10.1016/j.eneco.2016.04.012 |
| Popis: | Using monthly data between 1970 and 2013, we provide a comprehensive analysis of the extent of co-movement (measured by correlation coefficients) among the nominal price returns of 11 major energy, agricultural, and food commodities. We study the degree and the time evolution of unconditional and conditional correlations using a uniform-spacings estimation and testing approach, multivariate dynamic conditional correlation models, and a rolling regression procedure. We find that (1) the price returns of energy and agricultural commodities are highly correlated; (2) 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 (3) the stock market volatility is positively associated with the co-movement of price returns across markets, especially after 2007. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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