Co‐movements in commodity prices: a note based on network analysis
利用相关矩阵和网络方法，分析1992-2010年间多种大宗商品价格的联动模式，发现2008年中至2009年底联动性几乎翻倍，并识别出金属、石油与谷物、油籽三类价格同步变动的商品组。
Abstract This article analyses co‐movements in a wide group of commodity prices during the time period 1992–2010. Our methodological approach is based on the correlation matrix and the networks inside. Through this approach we are able to summarize global interaction and interdependence, capturing the existing heterogeneity in the degrees of synchronization between commodity prices. Our results produce two main findings: (a) we do not observe a persistent increase in the degree of co‐movement of the commodity prices in our time sample, however from mid‐2008 to the end of 2009 co‐movements almost doubled when compared with the average correlation; (b) we observe three groups of commodities which have exhibited similar price dynamics (metals, oil and grains, and oilseeds) and which have increased their degree of co‐movement during the sampled period.