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

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