Determinants of Commodity Futures Prices: Decomposition Approach

Table 6

Measures of IMFs and residue derived through EMD for Bloomberg daily price series of crude oil (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 series	2.00786				113.1117
IMF1	1.60025	0.12294	0.03922	0.05714	0.94290	0.83360	0.89788
IMF2	3.50824	0.04399	0.02738	0.03939	0.78348	0.69266	0.74607
IMF3	7.73939	0.05329	0.04523	0.06311	1.45815	1.28912	1.38853
IMF4	17.98592	0.16402	0.07260	0.10231	2.62998	2.32512	2.50442
IMF5	37.55882	0.34412	0.15764	0.22653	6.38402	5.64400	6.07923
IMF6	70.94444	0.31680	0.17563	0.26406	9.08070	8.02808	8.64716
IMF7	182.42857	0.49828	0.31549	0.47116	33.62158	29.72423	32.01638
IMF8	319.25000	0.61497	0.42600	0.60394	39.58971	35.00054	37.69957
Residue		0.48211	0.46130	0.61337	10.52316	9.30333	10.02075
Sum						92.84068	100.00