Authors: Subhakara Valluri
Addresses: Institute of Economics of the Polish Academy of Sciences, Nowy Świat 72, 00-330 Warszawa, Poland
Abstract: Our research aims to examine the relationship between sub-indices of the Standard & Poor's Goldman Sachs Commodity Index (SP-GSCI). Past research focussed on analysing the individual commodity sectors like agriculture, energy, or precious metals. There is no significant research done by analysing the links between commodity sub-sectors. S&P GSCI Agriculture Index, Energy Index, and Precious Metals Index with daily values from October 2001 till December 2016 are taken for the regression analysis. Toda and Yamamoto (1995) procedure is used to find the causal links between commodity sectors like agriculture, energy, and precious metals. In our analysis, the price movement in the energy index is affecting both the agricultural index and the precious metals index. The price movement in the agricultural index is also affecting the precious metals index. Neither the agricultural index nor the precious metals index is driving the price of the energy index.
Keywords: commodity markets; commodity indices; causal analysis; Toda and Yamamoto (1995) procedure; Wald statistic; VAR; vector autoregression; S&P GSCI Index; SGK; S&P GSCI Agriculture Index; SGJ; S&P GSCI Energy Index; SGP; S&P GSCI Precious Metals Index.
International Journal of Economics and Business Research, 2021 Vol.22 No.1, pp.92 - 110
Received: 04 Sep 2019
Accepted: 05 May 2020
Published online: 16 Jul 2021 *