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Who Moves First? Commodity Price Interdependence Through Time-Varying Granger Causality

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  • Roberto Esposti

    (Department of Economics and Social Sciences, Marche Polytechnic University)

Abstract

This paper investigates the interdependence among commodity prices. Commodities belonging to three different groups (energy commodities, metals, agricultural commodities) are considered. The analysis is performed via a battery of time-varying Granger causality tests. They allow assessing whether price interdependence occurs and to identify the candidate first movers. These tests also allow observing how long and in which sub-periods these causality relationships occur. The approach is applied to the monthly prices of eleven commodities over the 1980-2021 period. Results suggest that interdependence is weak for energy and agricultural commodities and often concerns limited time periods, while it seems stronger and longer lasting among metals. Moreover, if an overall price driver has to be identified, agricultural commodities more than oil seem to be the best candidates.

Suggested Citation

  • Roberto Esposti, 2022. "Who Moves First? Commodity Price Interdependence Through Time-Varying Granger Causality," Working Papers 471, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    • Handle: RePEc:anc:wpaper:471
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity Prices; Time Varying Granger Causality; Price Interdependence.;
    All these keywords.

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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