Co-movements in commodity prices: a note based on network analysis

David Matesanz, Benno Torgler, Germán Dabat and Guillermo J. Ortega
Authors registered in the RePEc Author Service: David Matesanz Gómez ()

Agricultural Economics, 2014, vol. 45, issue S1, 13-21

Abstract: This article analyses co-movements in a wide group of commodity prices during the time period 1992–2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are able to summarize global interaction and interdependence, capturing the existing heterogeneity in the degrees of synchronization between commodity prices. Our results produce two main findings: (a) we do not observe a persistent increase in the degree of co-movement of the commodity prices in our time sample, however from mid-2008 to the end of 2009 co-movements almost doubled when compared with the average correlation; (b) we observe three groups of commodities which have exhibited similar price dynamics (metals, oil and grains, and oilseeds) and which have increased their degree of co-movement during the sampled period.

Date: 2014
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Citations: View citations in EconPapers (16)

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Working Paper: Co-movements in commodity prices: A note based on network analysis (2011)
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