文章基本信息

标题：Multiscale interdependence between the major agricultural commodities
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作者：Dejan Živkov ; Dejan Živkov ; Jovan Njegić 等
期刊名称：Agricultural Economics
印刷版ISSN：0139-570X
电子版ISSN：1805-9295
出版年度：2019
卷号：65
期号：2
页码：82-92
DOI：10.17221/147/2018-AGRICECON
出版社：Czech Academy of Agricultural Sciences
摘要：This paper investigates multiscale dynamic interconnection between the five agricultural commodities – corn, wheat, soybean, rice and oats, covering more than 18 years period. For research purposes, two complementary methodologies were used – wavelet coherence and phase difference. Low coherence is present at shorter time-horizons, while at longer time-horizons high coherence areas are found, but they are not widespread in all wavelet coherence plots. These results speak in favour of diversification opportunities. Strong coherence in longer time-horizons indicates that common factors are likely to be the main determinants of the agricultural prices in the long-run. On the other hand, rare high coherence areas at lower scales suggest that monetary and financial activities are most likely the causes that have affected the comovements of the grain prices in the short-term horizons. Phase difference discloses a relatively stable pattern between corn-soybean, corn-wheat, rice-oats and oats-soybean in the longer time-horizons. Taking into account investors’ diversification benefits and the leading (lagging) connections in long-run, corn and oats are the most appropriate cereals to be combined in an n-asset portfolio, since these two cereals constantly and very steadily lag soybean, whereas strong coherence between corn and oats does not frequently occur in all wavelet scales.
关键词：correlation; phase difference; wavelet coherence