Understanding Dynamic Conditional Correlations between Commodities Futures Markets

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dc.creatorBehmiri, Niaz Bashiri
dc.creatorManera, Matteo
dc.creatorNicolini, Marcella
dc.date2017-04-01T20:15:46Z
dc.date.accessioned2026-07-09T10:14:51Z
dc.descriptionWe estimate dynamic conditional correlations between 10 commodities futures returns in energy, metals and agriculture markets over the period 1998-2014 with a DCC-GARCH model. We look at the factors influencing those correlations, adopting a pooled mean group (PMG) estimator. Macroeconomic variables are significantly correlated with agriculture-energy and metals-energy dynamic conditional correlations; while financial variables are relevant in the agriculture-energy correlations and poorly significant in the metals-energy ones. Speculative activity is generally not statistically significant. Correlations started increasing in the years before the financial crisis and decreased at the end of our period of analysis.
dc.identifierdoi:10.22004/ag.econ.232223
dc.identifierhttps://ageconsearch.umn.edu/record/232223/files/NDL2016-017.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/232223
dc.identifier.urihttp://hdl.handle.net/123456789/616920
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/232223
dc.titleUnderstanding Dynamic Conditional Correlations between Commodities Futures Markets
dc.typeText

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University of Minnesota