Co-movement of commodity price indexes and energy price index: a wavelet coherence approach

Financial Innovation

Table 1 Descriptive statistics

Variable	Energy price index	Agriculture raw material index	Industry input price index	Metal price index
Code	EPI	API	IPI	MPI
Source	IMF	IMF	IMF	IMF
Time	1992M1-2019M12
Mean	118.128	86.927	97.386	80.230
Median	109.485	80.361	87.977	70.182
Maximum	312.413	140.146	221.183	179.729
Minimum	30.923	56.496	43.777	30.420
Std. Dev	67.951	21.519	43.940	44.440
Skewness	0.5831	0.419	0.575	0.410
Kurtosis	2.232	2.002	2.264	1.775
Jarque–Bera	27.283	23.766	26.113	30.441
Probability	0.000	0.000	0.000	0.000

Energy Price Index is constructed by the Crude oil (petroleum), Natural Gas, Coal Price and Propane Indices while the Metal Price Index is constructed by the Metal Price Index (Base Metals) and Precious Metals Index. However, the Industry Input Price is constructed by the Index Agricultural Raw Materials and Base Metals Price Indices, while the Agriculture Price Index is constructed by the Food and Beverages and Agriculture Raw Materials Price Indices