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Cross-correlation between interest rates and commodity prices

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  • Wang, Qing
  • Hu, Yiming

Abstract

In this paper, we investigate cross-correlations between interest rate and agricultural commodity markets. Based on a statistic of Podobnik et al. (2009), we find that the cross-correlations are all significant. Using the MF-DFA and MF-DXA methods, we find strong multifractality in both auto-correlations and cross-correlations. Moreover, the cross-correlations are persistent. Finally, based on the technique of rolling window, the time-variation property of cross-correlations is also revealed.

Suggested Citation

  • Wang, Qing & Hu, Yiming, 2015. "Cross-correlation between interest rates and commodity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 428(C), pages 80-89.
    • Handle: RePEc:eee:phsmap:v:428:y:2015:i:c:p:80-89
    DOI: 10.1016/j.physa.2015.02.053
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