Understanding Dynamic Conditional Correlations between Commodities Futures Markets

Niaz Bashiri Behmiri, Matteo Manera () and Marcella Nicolini

No 2016.17, Working Papers from Fondazione Eni Enrico Mattei

Abstract: We estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.

Keywords: Multivariate GARCH; Dynamic Conditional Correlations; Future Markets; Commodities (search for similar items in EconPapers)
JEL-codes: C32 Q11 Q42 (search for similar items in EconPapers)
Date: 2016-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://feem-media.s3.eu-central-1.amazonaws.com/w ... oads/NDL2016-017.pdf (application/pdf)

Related works:
Working Paper: Understanding Dynamic Conditional Correlations between Commodities Futures Markets (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fem:femwpa:2016.17

Access Statistics for this paper

More papers in Working Papers from Fondazione Eni Enrico Mattei Contact information at EDIRC.
Bibliographic data for series maintained by Alberto Prina Cerai ( this e-mail address is bad, please contact ).