FEEM working papers "Note di lavoro"
2016.017
Date: 4/2/2016

Understanding Dynamic Conditional Correlations between Commodities Futures Markets


Authors:
Niaz Bashiri Behmiri (Fondazione Eni Enrico Mattei); Matteo Manera (University of Milan-Bicocca, Fondazione Eni Enrico Mattei); Marcella Nicolini (University of Pavia, Fondazione Eni Enrico Mattei)
JEL n.: Q42, Q11, C32
Keywords: Multivariate GARCH, Dynamic Conditional Correlations, Future Markets, Commodities

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. 

***

Suggested citation: Behmiri, N. B., M. Manera, M. Nicolini, (2016), 'Understanding Dynamic Conditional Correlations between Commodities Futures Markets',  Nota di Lavoro  17.2016, Milan, Italy: Fondazione Eni Enrico Mattei

Download file
Download file

FEEM Newsletter & Update

Subscribe to stay connected.

Your data will be processed by FEEM - Eni Enrico Mattei Foundation - Data Controller - to receive the Foundation's Newsletter & Update via e-mail. To send the requested information, the Data Controller uses e-mail sending service providers established in the U.S.A .: for this, your consent to the transfer of your email address to the U.S.A. is required, without which it will not be possible to comply with your request. We invite you to consult the complete information to obtain detailed information to protect your rights.