Cross-correlation between interest rates and commodity prices

Qing Wang and Yiming Hu

Physica A: Statistical Mechanics and its Applications, 2015, vol. 428, issue C, 80-89

Abstract: In this paper, we investigate cross-correlations between interest rate and agricultural commodity markets. Based on a statistic of Podobnik et al. (2009), we find that the cross-correlations are all significant. Using the MF-DFA and MF-DXA methods, we find strong multifractality in both auto-correlations and cross-correlations. Moreover, the cross-correlations are persistent. Finally, based on the technique of rolling window, the time-variation property of cross-correlations is also revealed.

Keywords: Interest rate; Cross-correlations; MF-DXA; Time variation (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:428:y:2015:i:c:p:80-89

DOI: 10.1016/j.physa.2015.02.053

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