Understanding Dynamic Conditional Correlations between Commodities Futures Markets

Niaz Bashiri Behmiri, Matteo Manera () and Marcella Nicolini

No 232223, ESP: Energy Scenarios and Policy from Fondazione Eni Enrico Mattei (FEEM)

Abstract: We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 35
Date: 2016-03-01
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Citations: View citations in EconPapers (2)

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https://ageconsearch.umn.edu/record/232223/files/NDL2016-017.pdf (application/pdf)

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Working Paper: Understanding Dynamic Conditional Correlations between Commodities Futures Markets (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:feemes:232223

DOI: 10.22004/ag.econ.232223

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