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Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices

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  • Mitra, Subrata Kumar
  • Bhatia, Vaneet
  • Jana, R.K.
  • Charan, Parikshit
  • Chattopadhyay, Manojit

Abstract

In this paper, we analyzed changing comovement relationship between prices of crude oil and food crops/food index using a detrended cross-correlation analysis (DCCA) approach proposed by Podobnik and Stanley (2008). In order to detect the changing nature of cross-correlation coefficient over time, we estimated the detrended cross-correlation coefficient on a rolling window and found that cross-correlations were negative before 2004 for most of the items but they increased considerably after the surge in crude oil price in 2007 that caused diversion of food grains for production of biofuels.

Suggested Citation

  • Mitra, Subrata Kumar & Bhatia, Vaneet & Jana, R.K. & Charan, Parikshit & Chattopadhyay, Manojit, 2018. "Changing value detrended cross correlation coefficient over time: Between crude oil and crop prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 671-678.
    • Handle: RePEc:eee:phsmap:v:506:y:2018:i:c:p:671-678
    DOI: 10.1016/j.physa.2018.04.034
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