Seven centuries of commodity co-movement: a wavelet analysis approach

ABSTRACT

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.

KEYWORDS:

• Wavelet analysis
• commodity prices
• early commodity data
• agricultural
• industrial
• energy commodities
• commodity markets
• co-movement

JEL CLASSIFICATION:

• G10
• Q01

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ https://globalfinancialdata.com/.

Additional information

Funding

Adam Zaremba acknowledges the support of the National Science Centre of Poland [grant no. 2019/33/B/HS4/01021].