Title
Seven centuries of commodity co-movement: a wavelet analysis approach
Source of Publication
Applied Economics Letters
Abstract
© 2020 Informa UK Limited, trading as Taylor & Francis Group. We examine interdependencies between agricultural, industrial, and energy commodity price indices suing data sets from more than seven centuries. To this end, we apply wavelet coherence and wavelet phase difference. There is a high coherence between prices for all three commodity-groups with energy prices now leading both agricultural and industrial commodity prices. Also, the role of energy as a leading series has increased over time.
Document Type
Article
Publisher
Informa UK Limited
Publication Date
1-1-2020
DOI
10.1080/13504851.2020.1869151
Scopus ID
85098527342
Recommended Citation
Umar, Zaghum; Zaremba, Adam; and Olson, Dennis, "Seven centuries of commodity co-movement: a wavelet analysis approach" (2020). Scopus Indexed Articles. 2799.
https://zuscholars.zu.ac.ae/scopus-indexed-articles/2799