Journal
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
Volume 67, Issue -, Pages 118-132Publisher
ELSEVIER
DOI: 10.1016/j.iref.2020.01.004
Keywords
Commodity futures prices; Crude oil; Dependency network; Financialisation; Time-varying
Categories
Funding
- National Natural Science Foundation of China [71974159, 71974181, 71774152]
- Youth Innovation Promotion Association of Chinese Academy of Sciences [Y7X0231505]
- 111 Project [B16040]
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This paper adopts a network approach to measure dependency among a set of international commodity futures prices. We first use partial correlations to construct a static dependency network for a vector of variables, and then illustrate within-system connections in a minimum spanning tree (MST) to evaluate the centrality of the variables. Rolling-window estimation is then applied to address time variations in both dependency and centrality networks. We show that crude oil price plays a pivotal role in connecting together components in the networks and there is clear evidence of time-varying within-system dependency. Our method demonstrates a new and easy-to-apply way to investigate dependency. The empirical results provide new evidence to the recent intensive discussions on financialisation in energy and commodity markets.
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