The main concern of this study is to analyze the price dynamic correlation degree among Indexes of CRB and major Commodity Futures contracts. The data period was based on daily records from July 31st, 2003 to August 1st, 2006. Several approaches were applied which included the Johansen Co-integration method, the vector error correction (VEC) model, the Granger causality test, the decomposition of the predictive error variance, and impulse response function to explore the temporal relationship of the CRB index with respect to the energy and the metals futures contracts.
Four major results were summarized as follows:
(1) Regarding the test of co-integration, CRB futures index existed a long-term balance with various indices except NICKEL index; However, in the VEC model, the COPPER and the GOLD indices were influenced by the ALUMINUM and the LEAD indices each other in terms of laggard effects. Namely, there existed a two-way feedback causality. In particular, the laggard of LEAD index influenced the current COPPER index most.
(2) In the part of Granger causality test, the CRB and COPPER indices possessed the feedback causality. Moreover, the CRB index had no causality effect neither on the GOLD index, the NICKEL index, nor the LEAD index.
(3) In the part of the decomposition of the predictive error variance, the CRB index had the strongest exogenity effect among various variables, therefore it won't be influenced by other factor apparently; However, the GOLD index was more easily affected by the variety of an external factor. Furthermore, the CRB and the COPPER indices had the most influence by the CRB index under the long-term fluctuation.
(4) The CRB index had the most effect by the OIL index, and the GOLD index was secondary in the impulse response function analysis results. In other words, the tendency of the short-term CRB index was still influenced by two important original materials indices mentioned above. Further, we observed the impulse response among the CRB index and various variables, the two indices, the OIL and COPPER, were affected obviously. Making a comprehensive survey of the inter-attack among the CRB index and other indices, we detected that the impulse directions were almost the same and without convergence as well.
Key words: CRB index, commodity futures index, time-series analysis