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Dependency, centrality and dynamic networks for international commodity futures prices

Fei Wu, Wan-Li Zhao, Qiang Ji () and Dayong Zhang ()

International Review of Economics & Finance, 2020, vol. 67, issue C, 118-132

Abstract: This paper adopts a network approach to measure dependency among a set of international commodity futures prices. We first use partial correlations to construct a static dependency network for a vector of variables, and then illustrate within-system connections in a minimum spanning tree (MST) to evaluate the centrality of the variables. Rolling-window estimation is then applied to address time variations in both dependency and centrality networks. We show that crude oil price plays a pivotal role in connecting together components in the networks and there is clear evidence of time-varying within-system dependency. Our method demonstrates a new and easy-to-apply way to investigate dependency. The empirical results provide new evidence to the recent intensive discussions on financialisation in energy and commodity markets.

Keywords: Commodity futures prices; Crude oil; Dependency network; Financialisation; Time-varying (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.iref.2020.01.004

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