Multiscale interdependence between the major agricultural commodities

Dejan Živkov, Jovan Njegić and Marko Pećanac
Additional contact information
Dejan Živkov: Novi Sad Business School, Novi Sad, Serbia
Jovan Njegić: Novi Sad Business School, Novi Sad, Serbia
Marko Pećanac: Office of the President of Republic of Serbia, Belgrade, Serbia

Agricultural Economics, 2019, vol. 65, issue 2, 82-92

Abstract: This paper investigates multiscale dynamic interconnection between the five agricultural commodities - corn, wheat, soybean, rice and oats, covering more than 18 years period. For research purposes, two complementary methodologies were used - wavelet coherence and phase difference. Low coherence is present at shorter time-horizons, while at longer time-horizons high coherence areas are found, but they are not widespread in all wavelet coherence plots. These results speak in favour of diversification opportunities. Strong coherence in longer time-horizons indicates that common factors are likely to be the main determinants of the agricultural prices in the long-run. On the other hand, rare high coherence areas at lower scales suggest that monetary and financial activities are most likely the causes that have affected the comovements of the grain prices in the short-term horizons. Phase difference discloses a relatively stable pattern between corn-soybean, corn-wheat, rice-oats and oats-soybean in the longer time-horizons. Taking into account investors' diversification benefits and the leading (lagging) connections in long-run, corn and oats are the most appropriate cereals to be combined in an n-asset portfolio, since these two cereals constantly and very steadily lag soybean, whereas strong coherence between corn and oats does not frequently occur in all wavelet scales.

Keywords: correlation; phase difference; wavelet coherence (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://agricecon.agriculturejournals.cz/doi/10.17221/147/2018-AGRICECON.html (text/html)
http://agricecon.agriculturejournals.cz/doi/10.17221/147/2018-AGRICECON.pdf (application/pdf)
free of charge

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:caa:jnlage:v:65:y:2019:i:2:id:147-2018-agricecon

DOI: 10.17221/147/2018-AGRICECON

Access Statistics for this article

Agricultural Economics is currently edited by Ing. Zdeňka Náglová, Ph.D.

More articles in Agricultural Economics from Czech Academy of Agricultural Sciences
Bibliographic data for series maintained by Ivo Andrle ().