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

Matesanz, David, Torgler, Benno, Dabat, Germán, & Dabat, Guillermo (2014) Co-movements in commodity prices : a note based on network analysis. Agricultural Economics, 45(S1), pp. 13-21.

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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.

Impact and interest:

3 citations in Scopus
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3 citations in Web of Science®

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ID Code: 78805
Item Type: Journal Article
Refereed: Yes
Keywords: C45, E37, Q33, Commodity prices, Co-movement, Hierarchy and topology, Networks, Complex systems
DOI: 10.1111/agec.12126
ISSN: 0169-5150
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2014 International Association of Agricultural Economists
Deposited On: 20 Nov 2014 02:42
Last Modified: 21 Nov 2014 00:44

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