Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/214503 
Year of Publication: 
2011
Series/Report no.: 
CREMA Working Paper No. 2011-21
Publisher: 
Center for Research in Economics, Management and the Arts (CREMA), Basel
Abstract: 
This paper 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. These results suggest that speculation and uncertainty are drivers of the sharp slump in commodity prices synchronization.
Subjects: 
commodity prices
co-movement
hierarchy and topology
networks
complex systems
JEL: 
E37
C45
Q33
Document Type: 
Working Paper

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