Evolution of comovement between commodity futures: does biofuels matter?
In this study, the linkages of commodity futures are investigated for the period 1988:M1-2012:M4. Monthly futures prices for nine commodities are utilized throughout the empirical analyses. As the empirical approach, wavelet analysis is chosen to investigate the comovement of commodity futures. By u...
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| Format: | Article |
| Language: | English |
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General Association of Economists from Romania
2014-06-01
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| Series: | Theoretical and Applied Economics |
| Subjects: | |
| Online Access: |
http://store.ectap.ro/articole/991.pdf
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| Summary: | In this study, the linkages of commodity futures are investigated for the
period 1988:M1-2012:M4. Monthly futures prices for nine commodities are
utilized throughout the empirical analyses. As the empirical approach, wavelet
analysis is chosen to investigate the comovement of commodity futures. By using
wavelet based measure of correlation, the correlation between commodity futures
are determined both in time and frequency domain. The results indicate that
correlations are low for short, medium and long-run. I also find evidence of a
tendency towards an increase in correlations after 2008. This can be the result of
the global crisis that has an effect on feedstock costs and energy input prices by
putting front a channel through biofuels that links energy and agricultural
commodities by increasing the correlation between these commodities after 2008. |
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| ISSN: | 1841-8678 1844-0029 |