Co-movement of major commodity price returns : time-series assessment
TL;DR: In this article, the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013 was analyzed.
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Abstract: This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multivariate dynamic conditional correlation model and a rolling regression procedure are used to study the extent and the time-evolution of unconditional and conditional correlations. The results indicate that (i) the price returns of energy and agricultural commodities are highly correlated; (ii) the overall level of co-movement among commodities increased in recent years, especially between energy and agricultural commodities and in particular in the cases of maize and soybean oil, which are important inputs in the production of biofuels; and (iii) particularly after 2007, stock market volatility is positively associated with the co-movement of price returns across markets.
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Figures
Table 2.1 Summary statistics of commodity nominal price returns (1970M02–2013M05) 
Table 3.2 Determinants of absolute rolling correlations: Linear regression analysis 
Table 3.1 Uniform-spacings analysis of commodity nominal price returns 
Figure 3.2 Dynamic conditional correlations of soybean oil nominal price returns 
Figure B.1 Rolling correlations of maize nominal price returns: Twenty-four month window 
Figure 3.2 Dynamic conditional correlations of soybean oil nominal price returns
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