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

  • David M Gomez

    (University of Oviedo)

  • Guillermo J Ortega

    (Universidad Nacional de Quilmes)

  • Benno Torgler

    ()

    (QUT)

  • German Debat

    (Universidad Nacional de Quilmes)

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.

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File URL: http://external-apps.qut.edu.au/business/documents/discussionPapers/2011/WP274.pdf
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Paper provided by School of Economics and Finance, Queensland University of Technology in its series School of Economics and Finance Discussion Papers and Working Papers Series with number 274.

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Length: 17 pages
Date of creation: 21 Nov 2011
Date of revision:
Handle: RePEc:qut:dpaper:274
Contact details of provider: Postal: GPO Box 2434, BRISBANE QLD 4001
Web page: http://www.bus.qut.edu.au/faculty/economics/
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  1. Jeffrey A. Frankel, 2008. "The Effect of Monetary Policy on Real Commodity Prices," NBER Chapters, in: Asset Prices and Monetary Policy, pages 291-333 National Bureau of Economic Research, Inc.
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  15. David Matesanz Gomez & Guillermo J. Ortega & Benno Torgler, 2011. "Measuring Globalization: A hierarchical network approach," School of Economics and Finance Discussion Papers and Working Papers Series 267, School of Economics and Finance, Queensland University of Technology.
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