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Co-Movement of Major Commodity Price Returns : Time-Series Assessment / de Nicola, Francesca
World Bank Open Knowledge Repository (formerly "World Bank E-Library Publications") Available online
View online- Format:
- Book
- Government document
- Author/Creator:
- de Nicola, Francesca
- Series:
- Policy research working papers.
- World Bank e-Library.
- Language:
- English
- Subjects (All):
- Agriculture.
- Co-Movement.
- Commodity Prices.
- Crops & Crop Management Systems.
- Emerging Markets.
- Energy.
- Energy Production and Transportation.
- Food & Beverage Industry.
- Industry.
- Macroeconomics and Economic Growth.
- Markets & Market Access.
- Private Sector Development.
- Time-Series Models.
- Local Subjects:
- Agriculture.
- Co-Movement.
- Commodity Prices.
- Crops & Crop Management Systems.
- Emerging Markets.
- Energy.
- Energy Production and Transportation.
- Food & Beverage Industry.
- Industry.
- Macroeconomics and Economic Growth.
- Markets & Market Access.
- Private Sector Development.
- Time-Series Models.
- Physical Description:
- 1 online resource (38 pages)
- Other Title:
- Co-Movement of Major Commodity Price Returns
- Place of Publication:
- Washington, D.C., The World Bank, 2014
- System Details:
- data file
- Summary:
- 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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