Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

被引：30

作者：

Kirikkaleli, Dervis ^{[1
]}

Gungor, Hasan ^{[2
]}

机构：

[1] European Univ Lefke, Fac Econ & Adm Sci European, Dept Banking & Finance, TR-10 Mersin, Northern Cyprus, Turkey

[2] Eastern Mediterranean Univ, Dept Econ, Famagusta, North Cyprus, Turkey

来源：

FINANCIAL INNOVATION | 2021年 / 7卷 / 01期

关键词：

Energy price; Commodity price; Wavelet coherence; Causality; PRECIOUS-METAL PRICES; OIL PRICES; AGRICULTURAL COMMODITY; CRUDE-OIL; FOOD-PRICES; SHOCKS EVIDENCE; SPILLOVER; CAUSALITY; DYNAMICS; DOLLAR;

D O I：

10.1186/s40854-021-00230-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This research sheds light on the causal link between commodity price indexes, i.e., the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index, in the global market, using wavelet coherence, Toda-Yamamoto causality, and gradual shift causality tests over the period 1992M1 to 2019M12. Findings from the wavelet power spectrum and partial wavelet coherence reveal that: (1) there was significant volatility in the Agricultural Raw Materials Price Index, Industry Input Price Index, Metal Price Index, and Energy Price Index between 2004 and 2014 at different frequencies; and (2) commodity price indexes significantly caused the energy price index at different time periods and frequencies. It is noteworthy that the outcomes of the Toda-Yamamoto causality and gradual-shift causality tests are in line with the results of wavelet coherence.

引用

页数：18

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