Title

Seven centuries of commodity co-movement: a wavelet analysis approach

Author First name, Last name, Institution

Zaghum Umar
Adam Zaremba
Dennis Olson

Document Type

Article

Source of Publication

Applied Economics Letters

Publication Date

1-1-2020

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.

ISSN

1350-4851

Publisher

Informa UK Limited

Last Page

5

Disciplines

Business

Keywords

agricultural, co-movement, commodity markets, commodity prices, early commodity data, energy commodities, industrial, Wavelet analysis

Scopus ID

85098527342

Indexed in Scopus

yes

Open Access

no

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