Advanced Search
MyIDEAS: Login to save this paper or follow this series

Co-movements in commodity prices: A note based on network analysis

Contents:

Author Info

  • David Matesanz Gomez
  • Guillermo J. Ortega
  • Benno Torgler
  • German Dabat

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.crema-research.ch/papers/2011-21.pdf
File Function: Full Text
Download Restriction: no

File URL: http://www.crema-research.ch/abstracts/2011-21.htm
File Function: Abstract
Download Restriction: no

Bibliographic Info

Paper provided by Center for Research in Economics, Management and the Arts (CREMA) in its series CREMA Working Paper Series with number 2011-21.

as in new window
Length:
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:cra:wpaper:2011-21

Contact details of provider:
Postal: Gellerstrasse 24, 4052 Basel
Email:
Web page: http://www.crema-research.ch
More information through EDIRC

Related research

Keywords: commodity prices; co-movement; hierarchy and topology; networks; complex systems;

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Labys, W. C. & Achouch, A. & Terraza, M., 1999. "Metal prices and the business cycle," Resources Policy, Elsevier, vol. 25(4), pages 229-238, December.
  2. Deaton, A., 1999. "Commodity Prices and Growth in Aftica," Papers 186, Princeton, Woodrow Wilson School - Development Studies.
  3. R. Mantegna, 1999. "Hierarchical structure in financial markets," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 11(1), pages 193-197, September.
  4. Jeffrey A. Frankel, 2006. "The Effect of Monetary Policy on Real Commodity Prices," NBER Working Papers 12713, National Bureau of Economic Research, Inc.
  5. Lombardi, Marco J. & Osbat, Chiara & Schnatz, Bernd, 2010. "Global commodity cycles and linkages a FAVAR approach," Working Paper Series 1170, European Central Bank.
  6. Javier Reyes & Stefano Schiavo & Giorgio Fagiolo, 2007. "Using Complex Network Analysis to Assess the Evolution of International Economic Integration: The cases of East Asia and Latin America," LEM Papers Series 2007/25, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  7. Eduardo Borensztein & Carmen Reinhart, 1994. "The Macroeconomic Determinants of Commodity Prices," IMF Working Papers 94/9, International Monetary Fund.
  8. Janusz Miskiewicz & Marcel Ausloos, 2009. "Has the world economy reached its globalization limit?," Papers 0910.3695, arXiv.org.
  9. Byrne, Joseph P. & Fazio, Giorgio & Fiess, Norbert, 2013. "Primary commodity prices: Co-movements, common factors and fundamentals," Journal of Development Economics, Elsevier, vol. 101(C), pages 16-26.
  10. Cuddington, John T., 1992. "Long-run trends in 26 primary commodity prices : A disaggregated look at the Prebisch-Singer hypothesis," Journal of Development Economics, Elsevier, vol. 39(2), pages 207-227, October.
  11. Cashin, Paul & McDermott, C. John & Scott, Alasdair, 2002. "Booms and slumps in world commodity prices," Journal of Development Economics, Elsevier, vol. 69(1), pages 277-296, October.
  12. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler, 2011. "Measuring globalization: A hierarchical network approach," CREMA Working Paper Series 2011-11, Center for Research in Economics, Management and the Arts (CREMA).
  13. Roberts, Mark C., 2009. "Duration and characteristics of metal price cycles," Resources Policy, Elsevier, vol. 34(3), pages 87-102, September.
  14. Baffes, John, 2007. "Oil spills on other commodities," Resources Policy, Elsevier, vol. 32(3), pages 126-134, September.
  15. Vansteenkiste, Isabel, 2009. "How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis," Working Paper Series 1072, European Central Bank.
  16. Stephen Johnson, 1967. "Hierarchical clustering schemes," Psychometrika, Springer, vol. 32(3), pages 241-254, September.
  17. Jerrett, Daniel & Cuddington, John T., 2008. "Broadening the statistical search for metal price super cycles to steel and related metals," Resources Policy, Elsevier, vol. 33(4), pages 188-195, December.
  18. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010. "The macroeconomic determinants of volatility in precious metals markets," Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
  19. Chen, Mei-Hsiu, 2010. "Understanding world metals prices--Returns, volatility and diversification," Resources Policy, Elsevier, vol. 35(3), pages 127-140, September.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cra:wpaper:2011-21. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna-Lea Werlen).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.