Seven centuries of commodity co-movement: a wavelet analysis approach
Source of Publication
Applied Economics Letters
© 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.
Informa UK Limited
agricultural, co-movement, commodity markets, commodity prices, early commodity data, energy commodities, industrial, Wavelet analysis
Umar, Zaghum; Zaremba, Adam; and Olson, Dennis, "Seven centuries of commodity co-movement: a wavelet analysis approach" (2020). All Works. 3077.
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