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Correlation evidence in the dynamics of agricultural commodity prices

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  • Raphaël Homayoun Boroumand
  • Stephane Goutte
  • Simon Porcher
  • Thomas Porcher

Abstract

The article studies the correlation structures of a large panel of agricultural commodities prices between January 1990 and February 2014. We use a various collection of mathematical and statistical methodologies (estimated correlation matrix and principal component analysis) to capture these correlations. Our results show that there exist different degrees of correlation between commodities. We also demonstrate, through data mining analysis, that there are hidden correlations between some commodities. Indeed, some commodities' price behaviours are very similar in trend. Our results contribute to a better understanding of agricultural prices' behaviours by producers, investors and market intermediaries. The results contribute to a more efficient strategic asset allocation process within agricultural markets.

Suggested Citation

  • Raphaël Homayoun Boroumand & Stephane Goutte & Simon Porcher & Thomas Porcher, 2014. "Correlation evidence in the dynamics of agricultural commodity prices," Applied Economics Letters, Taylor & Francis Journals, vol. 21(17), pages 1238-1242, November.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:17:p:1238-1242
    DOI: 10.1080/13504851.2014.922742
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    1. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
    2. Natanelov, Valeri & Alam, Mohammad J. & McKenzie, Andrew M. & Van Huylenbroeck, Guido, 2011. "Is there co-movement of agricultural commodities futures prices and crude oil?," Energy Policy, Elsevier, vol. 39(9), pages 4971-4984, September.
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    Cited by:

    1. Yun-Shi Dai & Ngoc Quang Anh Huynh & Qing-Huan Zheng & Wei-Xing Zhou, 2023. "Correlation structure analysis of the global agricultural futures market," Papers 2310.16849, arXiv.org.
    2. Dai, Yun-Shi & Huynh, Ngoc Quang Anh & Zheng, Qing-Huan & Zhou, Wei-Xing, 2022. "Correlation structure analysis of the global agricultural futures market," Research in International Business and Finance, Elsevier, vol. 61(C).

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