Causality in mean and variance between returns of crude oil and metal prices, agricultural prices and financial market prices

In the short run the rate of return on commodities mostly depends on investors' reaction to incoming information on the world economic situation, that is the global demand, as well as information on the fluctuations in the supply of those commodities. The paper presents the analysis of dependencies between the prices of crude oil and various metals, energy sources, agricultural raw materials, food and beverages and the variables specific for the financial market. The methodology was based on Cheung and Ng and Hong tests, which allow to analyse Granger causality of daily returns both in mean and variance. The results of the analysis indicated the existence of simultaneous dependencies between the prices of crude oil and the prices of other commodities. The analysis also revealed that the price of crude oil is the Granger cause of natural gas, S&P 500, coffee, corn, cotton and copper prices. The results of the analysis indicate that the prices of platinum, natural gas and the value of US 30 Year Bonds were the Granger cause of the crude oil prices. Causality of returns in variance was observed in several pairs only.