Determinants of Commodity Futures Prices: Decomposition Approach

Table 4

Correlation and variance of components obtained from modes of VMD for 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
M1	13.16495	0.7698	0.34161	0.44076	0.09867	29.43089	40.96571
M2	51.08000	0.81506	0.56521	0.72165	0.12177	36.32106	50.55634
M3	38.69697	0.27415	0.25665	0.33405	0.01382	4.12217	5.73777
M4	22.40351	0.17083	0.14986	0.20856	0.00425	1.26767	1.76451
M5	10.91453	0.09350	0.08122	0.11630	0.00105	0.31319	0.43594
M6	7.38150	0.07210	0.07910	0.11401	0.00069	0.20581	0.28647
M7	4.72963	0.05670	0.06294	0.08949	0.00045	0.13422	0.18683
M8	2.63299	0.03922	0.04783	0.06865	0.00016	0.04772	0.06643
Sum						71.843	100