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

Author

Listed:
  • David Matesanz
  • Benno Torgler
  • Germán Dabat
  • Guillermo J. Ortega
Abstract
This article 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.

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  • David Matesanz & Benno Torgler & Germán Dabat & Guillermo J. Ortega, 2014. "Co-movements in commodity prices: a note based on network analysis," Agricultural Economics, International Association of Agricultural Economists, vol. 45(S1), pages 13-21, November.
    • Handle: RePEc:bla:agecon:v:45:y:2014:i:s1:p:13-21
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    File URL: http://hdl.handle.net/10.1111/agec.12126
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    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
    • Q33 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - Resource Booms (Dutch Disease)

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