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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
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