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

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.

Automated summary

We use dynamic time warping, a non-parametric pattern recognition method, to study the interlinkages between major energy and agricultural commodity prices. Cluster analysis is conducted to group commodity prices based on their behavioral likeness, resulting in two clusters: one containing crude oil and six major agricultural commodities, and the other containing coal and natural gas prices. The lead-lag associations between oil and crop prices change frequently, with oil prices generally lagging crop prices, but occasionally leading them.