WHO MOVES FIRST? COMMODITY PRICE INTERDEPENDENCE THROUGH TIME-VARYING GRANGER CAUSALITY

Roberto Esposti

No 471, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

Abstract: This paper investigates the interdependence among commodity prices. Commodities belonging to three different groups (energy commodities, metals, agricultural commodities) are considered. The analysis is performed via a battery of time-varying Granger causality tests. They allow assessing whether price interdependence occurs and to identify the candidate first movers. These tests also allow observing how long and in which sub-periods these causality relationships occur. The approach is applied to the monthly prices of eleven commodities over the 1980-2021 period. Results suggest that interdependence is weak for energy and agricultural commodities and often concerns limited time periods, while it seems stronger and longer lasting among metals. Moreover, if an overall price driver has to be identified, agricultural commodities more than oil seem to be the best candidates.

Keywords: Commodity Prices; Time Varying Granger Causality; Price Interdependence. (search for similar items in EconPapers)
JEL-codes: C32 Q11 (search for similar items in EconPapers)
Pages: 36
Date: 2022-10
New Economics Papers: this item is included in nep-agr and nep-ene
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:471

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