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Comovement between commodity sectors

Guixin Cai, Hao Zhang and Ziyue Chen

Physica A: Statistical Mechanics and its Applications, 2019, vol. 525, issue C, 1247-1258

Abstract: We aim to document the comovement between commodity sectors by using the three-dimensional continuous wavelet transform and copula method with the weekly dataset from January 1991 to December 2018. The dependence between commodity sectors varies across time and frequency. Precisely, Agriculture–Energy pair, Agriculture–Industrial metals pair, Energy–Industrial metals and Industrial metals–Precious metals pair show quite similar pattern in the lead–lag relationship and the degree of comovement is quite strong. In addition, Energy–Livestock pair, Energy–Precious metals pair and Industrial–Livestock pair do not show obvious periodic characteristics, however, they present strong comovement in the long term. Furthermore, we find the evidence of the robust strong relationship in the Agriculture–Industrial metals pair and Industrial metals–Precious metals pair. Investors who aim to make good portfolio management and policymakers who want to make effective macroeconomic policy should take these conclusions into account.

Keywords: Commodity; Comovement; Wavelet; Copula (search for similar items in EconPapers)
JEL-codes: C32 G15 (search for similar items in EconPapers)
Date: 2019
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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