HomeDespre ECTAEventsPolitica editorialaTrimite un articolParteneri / link-uri utileArchiveAbonamentContact

ISSN 1841-8678   (print)
ISSN 1844-0029   (online)


Archive ECTAP

Note: for the period 1994-2003 the archive of the magazine will not be available online

Supplements ECTAP

If you cannot open the pdf file you need Adobe Reader.
download Adobe Reader

Creative Commons License

Theoretical and Applied Economics
No. 6 / 2014 (595)

Evolution of comovement between commodity futures: does biofuels matter?

Bahcesehir University, Istanbul, Turkey

Abstract. In this study, the linkages of commodity futures are investigated for the period 1988:M1-2012:M4. Monthly futures prices for nine commodities are utilized throughout the empirical analyses. As the empirical approach, wavelet analysis is chosen to investigate the comovement of commodity futures. By using wavelet based measure of correlation, the correlation between commodity futures are determined both in time and frequency domain. The results indicate that correlations are low for short, medium and long-run. I also find evidence of a tendency towards an increase in correlations after 2008. This can be the result of the global crisis that has an effect on feedstock costs and energy input prices by putting front a channel through biofuels that links energy and agricultural commodities by increasing the correlation between these commodities after 2008.

Keywords: wavelet analysis, comovement, energy futures, agricultural commodity futures, biofuels.

Download the full article:  


The natural regulator
Marin Dinu

Open acces




The Economicity. The Epistemic Landscape, Marin Dinu, 2016


ISSN 1841-8678 (ediția print) / ISSN 1844-0029 (ediția online)
© Copyright Asociația Generală a Economiștilor din România (AGER) / General Association of Economists From Romania  (GAER)
Redacția: 010702, București, Calea Griviței nr. 21, sector 1, E-mail:

© 2006-2023 AGER