Seven centuries of commodity co-movement: a wavelet analysis approach

Zaghum Umar, Adam Zaremba () and Dennis Olson

Applied Economics Letters, 2022, vol. 29, issue 4, 355-359

Abstract: We examine interdependencies between agricultural, industrial, and energy commodity price indices suing data sets from more than seven centuries. To this end, we apply wavelet coherence and wavelet phase difference. There is a high coherence between prices for all three commodity-groups with energy prices now leading both agricultural and industrial commodity prices. Also, the role of energy as a leading series has increased over time.

Date: 2022
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DOI: 10.1080/13504851.2020.1869151

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