Co-movements in commodity prices: A note based on network analysis

David Gómez (), Guillermo J. Ortega, Benno Torgler and German Dabat

CREMA Working Paper Series from Center for Research in Economics, Management and the Arts (CREMA)

Abstract: This paper analyses co-movements in a wide group of commodity prices during the time period 1992-2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are able to summarize global interaction and interdependence, capturing the existing heterogeneity in the degrees of synchronization between commodity prices. Our results produce two main findings: (a) we do not observe a persistent increase in the degree of co-movement of the commodity prices in our time sample, however from mid-2008 to the end of 2009 co-movements almost doubled when compared with the average correlation; (b) we observe three groups of commodities which have exhibited similar price dynamics (metals, oil and grains and oilseeds) and which have increased their degree of co-movement during the sampled period. These results suggest that speculation and uncertainty are drivers of the sharp slump in commodity prices synchronization.

Keywords: commodity prices; co-movement; hierarchy and topology; networks; complex systems (search for similar items in EconPapers)
JEL-codes: C45 E37 Q33 (search for similar items in EconPapers)
Date: 2011-10
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Citations: View citations in EconPapers (3)

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Journal Article: Co-movements in commodity prices: a note based on network analysis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cra:wpaper:2011-21

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