Understanding dynamic conditional correlations between commodities futures markets

Niaz Bashiri Behmiri (Fondazione Eni Enrico Mattei, Milan), Matteo Manera (University of Milan-Bicocca and Fondatione Eni Enrico Mattei, Milan), Marcella Nicolini (University of Pavia and Fondazione Eni Enrico Mattei, Milan)

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.

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Year of publication:	2016
Authors:	Behmiri, Niaz Bashiri ; Manera, Matteo ; Nicolini, Marcella
Publisher:	Milano : Fondazione Eni Enrico Mattei
Subject:	Multivariate GARCH \| Dynamic Conditional Correlations \| Future Markets \| Commodities \| Rohstoffderivat \| Commodity derivative \| Korrelation \| Correlation \| ARCH-Modell \| ARCH model \| Volatilität \| Volatility \| Theorie \| Theory \| Warenbörse \| Commodity exchange