Time-frequency analysis between Bloomberg Commodity Index (BCOM) and WTI crude oil prices

Umer Shahzad (), Sangram Keshari Jena, Aviral Tiwari, Buhari Doğan () and Cosimo Magazzino ()

Resources Policy, 2022, vol. 78, issue C

Abstract: The price movement of commodities in general and crude oil, in particular, are critical for both commodity-consuming and producing countries. The prime objective of this study is to examine the characteristic behavior of commodity futures and commodity index and the dynamic relationships between commodity index and commodity futures. The study first investigates the evolution of volatility of Bloomberg commodity index (BCOM) and WTI crude oil (CRUDE) prices at different time scales using Wavelet Power Spectrum Analysis. Second, the correlation and causality between BCOM and CRUDE are investigated using Wavelet Coherency and Phase Difference methodology. The average level volatility of BCOM and CRUDE is different at different time scales. Wavelet Coherence shows that they are correlated in medium to long term periods and not in the short term. Further, during the period of changed correlation structure over the study period, the causality structure between BCOM and CRUDE is also changed at different time scales. Therefore, policy measures to control prices should be different in the short term than in the medium to long term when both the prices are not correlated.

Keywords: Bloomberg commodity index; Oil price; Time-frequency; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: G11 G14 G15 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0301420722002719
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722002719

DOI: 10.1016/j.resourpol.2022.102823

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().