Semester of Graduation

Summer 2023


Department of Agricultural Economics and Agribusiness

Document Type



This study conducts two interrelated econometric analyses; it first analyzes the cyclical relationship between stock and commodity markets and second, it studies the dynamic conditional correlation between them. The cyclical analysis uses the bandpass filter proposed by Christiano-Fitzgerald (2003) to isolate the trend component in the long-run relationship of stocks relative to commodity markets. The results show that stock and commodities have alternated in return leadership nine times during the last 151 years, three full cycles (from peak to peak) can be clearly identified, each one with an average duration of 31 years. While the COVID-19 pandemic had little impact on the long-term pattern, the 2008 financial crisis marked a turning point for this countercyclical behavior. Individuals and other investors may benefit from commodities by defining investment horizons according to these cycles. The conditional volatility/GARCH model results confirm that the relationship between stocks and commodity markets is interdependent and can lead to improved risk and financial management once the dynamic correlation is quantified. After the 2008 financial crisis, there was a significant increase in the correlation between the two asset classes, commodity, and traditional equity markets, where equity markets were measured by the S&P 500 index. The findings support a peak in the commodity market leadership in the years ahead.



Committee Chair

Zapata, Hector O.