Cross-correlation between interest rates and commodity prices

• Investigate cross-correlations between interest rate and agricultural commodity markets.
• The cross-correlations are all significant and persistent.
• We find strong multifractality in both auto-correlations and cross-correlations.
• The time-variation property of cross-correlations is also revealed.

In this paper, we investigate cross-correlations between interest rate and agricultural commodity markets. Based on a statistic of Podobnik et al. (2009), we find that the cross-correlations are all significant. Using the MF-DFA and MF-DXA methods, we find strong multifractality in both auto-correlations and cross-correlations. Moreover, the cross-correlations are persistent. Finally, based on the technique of rolling window, the time-variation property of cross-correlations is also revealed.