Date of This Version
3-3-2016
Abstract
We 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.
Recommended Citation
Behmiri, Niaz Bashiri; Manera, Matteo; and Nicolini, Marcella, "Understanding Dynamic Conditional Correlations between Commodities Futures Markets" (March 03, 2016). Fondazione Eni Enrico Mattei Working Papers. Paper 1103.
https://services.bepress.com/feem/paper1103