Determinants of Commodity Futures Prices: Decomposition Approach

Table 2

Measures of IMFs and residue obtained through EMD of daily price series of corn (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  + residual (%)
Observed series	2.02377				0.33526
IMF1	1.65415	0.03033	0.05804	0.08160	0.00103	0.30722	0.19538
IMF2	3.85801	0.01557	0.05546	0.08244	0.00132	0.39372	0.25039
IMF3	8.03145	0.18821	0.08422	0.11590	0.00567	1.69122	1.07553
IMF4	17.98592	0.13127	0.16079	0.22557	0.01488	4.43835	2.82257
IMF5	38.69697	0.10200	0.19915	0.28984	0.01821	5.43161	3.45423
IMF6	116.09091	0.06365	0.02319	0.03523	0.09837	29.34141	18.65966
IMF7	212.83333	0.54986	0.36244	0.51175	0.16983	50.65621	32.21480
Residue	425.66667	0.61478	0.10777	0.16794	0.21787	64.98538	41.32744
Sum						157.245	100