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

Autores
Matesanz Gómez, David; Torgler, Benno; Dabat, Germán; Ortega, Guillermo José
Año de publicación
2014
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
This article 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.
Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; España
Fil: Torgler, Benno. Queensland University of Technology; Australia
Fil: Dabat, Germán. Universidad Nacional de Quilmes; Argentina
Fil: Ortega, Guillermo José. Universidad Nacional de Quilmes. Departamento de Ciencia y Tecnología; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Commodity Prices
Hierarchy And Topology
Complex Network
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/33066
Acceder
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spelling Co-movements in commodity prices: a note based on network analysisMatesanz Gómez, DavidTorgler, BennoDabat, GermánOrtega, Guillermo JoséCommodity PricesHierarchy And TopologyComplex Networkhttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5This article 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.Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; EspañaFil: Torgler, Benno. Queensland University of Technology; AustraliaFil: Dabat, Germán. Universidad Nacional de Quilmes; ArgentinaFil: Ortega, Guillermo José. Universidad Nacional de Quilmes. Departamento de Ciencia y Tecnología; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaWiley2014-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/33066Ortega, Guillermo José; Dabat, Germán; Matesanz Gómez, David; Torgler, Benno; Co-movements in commodity prices: a note based on network analysis; Wiley; Agricultural Economics; 45; Supl. 1; 7-2014; 13-210169-51501574-0862CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.1111/agec.12126info:eu-repo/semantics/altIdentifier/url/http://onlinelibrary.wiley.com/doi/10.1111/agec.12126/abstractinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:35:24Zoai:ri.conicet.gov.ar:11336/33066instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:35:25.044CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Co-movements in commodity prices: a note based on network analysis
title Co-movements in commodity prices: a note based on network analysis
spellingShingle Co-movements in commodity prices: a note based on network analysis
Matesanz Gómez, David
Commodity Prices
Hierarchy And Topology
Complex Network
title_short Co-movements in commodity prices: a note based on network analysis
title_full Co-movements in commodity prices: a note based on network analysis
title_fullStr Co-movements in commodity prices: a note based on network analysis
title_full_unstemmed Co-movements in commodity prices: a note based on network analysis
title_sort Co-movements in commodity prices: a note based on network analysis
dc.creator.none.fl_str_mv Matesanz Gómez, David
Torgler, Benno
Dabat, Germán
Ortega, Guillermo José
author Matesanz Gómez, David
author_facet Matesanz Gómez, David
Torgler, Benno
Dabat, Germán
Ortega, Guillermo José
author_role author
author2 Torgler, Benno
Dabat, Germán
Ortega, Guillermo José
author2_role author
author
author
dc.subject.none.fl_str_mv Commodity Prices
Hierarchy And Topology
Complex Network
topic Commodity Prices
Hierarchy And Topology
Complex Network
purl_subject.fl_str_mv https://purl.org/becyt/ford/5.2
https://purl.org/becyt/ford/5
dc.description.none.fl_txt_mv This article 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.
Fil: Matesanz Gómez, David. Universidad de Oviedo. Facultad de Ciencias Económicas y Empresariales. Departamento de Economía Aplicada; España
Fil: Torgler, Benno. Queensland University of Technology; Australia
Fil: Dabat, Germán. Universidad Nacional de Quilmes; Argentina
Fil: Ortega, Guillermo José. Universidad Nacional de Quilmes. Departamento de Ciencia y Tecnología; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description This article 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.
publishDate 2014
dc.date.none.fl_str_mv 2014-07
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/33066
Ortega, Guillermo José; Dabat, Germán; Matesanz Gómez, David; Torgler, Benno; Co-movements in commodity prices: a note based on network analysis; Wiley; Agricultural Economics; 45; Supl. 1; 7-2014; 13-21
0169-5150
1574-0862
CONICET Digital
CONICET
url http://hdl.handle.net/11336/33066
identifier_str_mv Ortega, Guillermo José; Dabat, Germán; Matesanz Gómez, David; Torgler, Benno; Co-movements in commodity prices: a note based on network analysis; Wiley; Agricultural Economics; 45; Supl. 1; 7-2014; 13-21
0169-5150
1574-0862
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1111/agec.12126
info:eu-repo/semantics/altIdentifier/url/http://onlinelibrary.wiley.com/doi/10.1111/agec.12126/abstract
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Wiley
publisher.none.fl_str_mv Wiley
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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