Forthcoming paper here.
We study connectedness among the major commodity markets, summarizing and visualizing the results using tools from network science.
Among other things, the results reveal clear clustering of commodities into groups closely related to the traditional industry taxonomy, but with some notable differences.
Many thanks to Central Bank of Chile for encouraging and supporting the effort via its 2017 Annual Research Conference.
We study connectedness among the major commodity markets, summarizing and visualizing the results using tools from network science.
Among other things, the results reveal clear clustering of commodities into groups closely related to the traditional industry taxonomy, but with some notable differences.
Many thanks to Central Bank of Chile for encouraging and supporting the effort via its 2017 Annual Research Conference.
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