Macroeconomics

Quantum mechanics

Financial system

World Wide Web

Financial market

Granger causality

Economics

Computer science

Business

Social connectedness

Commodity

Physics

Psychology

Index (typography)

Monetary economics

Psychotherapist

Econometrics

Financial economics

Finance

Financial crisis

Causality (physics)

International Review of Financial Analysis

This paper documents a dramatic change in the nature of connectedness in global commodity prices following the 2008 global financial crisis. We show that co-dependence in price-changes among seven major commodity classes goes from a pre-crisis average of 14.82% to a strikingly larger average of 47.87% in the period following the crisis, and which has endured until now. Dynamic swings in price co-movements of such a scale present a clear concern for financial investors and are of immediate interest to a wider policy-maker audience. Of particular interest is the empirical behavior of the food commodity price index, whose contribution to the system dynamics rises from less than 20% in the period up to 2008, to more than 80% after. To dispel any concern that these finding may be method-specific, we demonstrate their invariance to modeling procedure by providing analogous-results using a pairwise Granger causality analysis, as well as different sub-sampling choices.

Global financial crisis and rising connectedness in the international commodity markets