Economics at your fingertips  

Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices

Subrata Kumar Mitra, Vaneet Bhatia, R.K. Jana, Parikshit Charan and Manojit Chattopadhyay

Physica A: Statistical Mechanics and its Applications, 2018, vol. 506, issue C, 671-678

Abstract: In this paper, we analyzed changing comovement relationship between prices of crude oil and food crops/food index using a detrended cross-correlation analysis (DCCA) approach proposed by Podobnik and Stanley (2008). In order to detect the changing nature of cross-correlation coefficient over time, we estimated the detrended cross-correlation coefficient on a rolling window and found that cross-correlations were negative before 2004 for most of the items but they increased considerably after the surge in crude oil price in 2007 that caused diversion of food grains for production of biofuels.

Keywords: Crude oil; Food crop prices; Comovement; Detrended cross correlation analysis (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

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:

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-01-19
Handle: RePEc:eee:phsmap:v:506:y:2018:i:c:p:671-678