Determinants of Commodity Futures Prices: Decomposition Approach

Table 10

Measures of IMFs and residue derived through EMD for Bloomberg daily price series of gold (May 2016–April 2021): correlation is significant at the level of 0.05 (2-tailed).

	Mean period	Pearson correlation	Kendall correlation	Spearman correlation	Variance	Variance as of observed (%)	Variance as % of IMFs + residual
Observed	1.912				54236.22
IMF1	1.561	0.032	0.035	0.048	52.556	0.097	0.792
IMF2	3.966	0.070	0.041	0.060	108.516	0.200	1.636
IMF3	8.513	0.057	0.052	0.072	101.769	0.188	1.534
IMF4	19.060	0.158	0.125	0.173	267.592	0.493	4.034
IMF5	47.296	0.092	0.127	0.182	736.343	1.358	11.101
IMF6	79.813	−0.030	0.087	0.113	387.337	0.714	5.834
IMF7	182.429	0.249	0.239	0.310	1794.455	3.309	27.053
IMF8	212.833	0.285	0.186	0.259	876.000	1.615	13.206
Residue	319.250	0.962	0.559	0.743	2308.628	4.257	34.804
Sum						12.231	100.00