On the linkages between energy and agricultural commodity prices: A dynamic time warping analysis

被引：7
|
作者：
Miljkovic, Dragan [1 ]
Vatsa, Puneet [2 ]
机构：
[1] North Dakota State Univ, Dept Agribusiness & Appl Econ, Fargo, ND 58105 USA
[2] Lincoln Univ, Fac Agribusiness & Commerce, Lincoln, New Zealand
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2023年 / 90卷
关键词：
Commodity prices Dynamic time warping Lead-lag analysis Pattern recognition Time-series clustering; CO-MOVEMENTS; FOOD-PRICES; CRUDE-OIL; LONG-RUN; TRENDS; COINTEGRATION; CYCLES; COMOVEMENT;
D O I：
10.1016/j.irfa.2023.102834
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We use dynamic time warping, a non-parametric pattern recognition method, to study interlinkages between major energy and agricultural commodity prices. Cluster analysis is conducted to group commodity prices based on their behavioral likeness by maximizing the differences between groups while minimizing the differences within groups. Two clusters emerge: one comprises the prices of crude oil and six major agricultural commodities, whereas the other contains coal and natural gas prices. Regarding lead-lag associations, oil prices generally lag crop prices; however, there are periods during which the former lead the latter. Furthermore, the duration with which oil prices lead or lag crop prices changes frequently.
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页数：13
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