Table 5: Summary Statistics of Commodity Nominal Price Returns - Subsample Analysis

|1970M02-1979M10|T|Mean|Median|SD|Min|Max|Skewness|Kurtosis|Shapiro-Wilk|Ljung-Box|
|---|---|---|---|---|---|---|---|---|---|---|
|Crude oil|117|0.029|0.000|0.128|-0.204|1.154|6.487|53.539|0.000|1.000|
|Coal|117|0.012|0.000|0.060|-0.029|0.463|6.118|42.426|0.000|0.384|
|Natural gas|117|0.017|0.000|0.053|-0.022|0.394|5.278|33.486|0.000|0.004|
|Soybean oil|117|0.008|0.007|0.083|-0.195|0.216|0.207|3.224|0.219|0.330|
|Barley|117|0.009|0.004|0.047|-0.108|0.278|1.588|10.973|0.000|0.984|
|Maize|117|0.006|0.000|0.057|-0.134|0.166|0.226|3.597|0.004|0.000|
|Sorghum|117|0.007|0.000|0.058|-0.164|0.214|0.817|5.134|0.000|0.004|
|Rice|117|0.008|0.004|0.082|-0.144|0.582|3.400|24.545|0.000|1.000|
|Wheat|117|0.010|0.000|0.075|-0.163|0.519|2.697|20.279|0.000|1.000|
|Sugar|117|0.010|0.010|0.118|-0.301|0.352|0.178|4.081|0.009|0.294|
|Cofee|117|0.012|0.009|0.078|-0.231|0.254|0.351|4.310|0.018|0.000|
|1979M11-1987M06|T|Mean|Median|SD|Min|Max|Skewness|Kurtosis|Shapiro-Wilk|Ljung-Box|
|Crude oil|92|-0.008|-0.003|0.093|-0.540|0.437|-1.173|19.038|0.000|0.871|
|Coal|92|-0.003|0.000|0.052|-0.213|0.228|-0.121|13.266|0.000|0.289|
|Natural gas|92|0.003|0.005|0.024|-0.069|0.045|-0.578|2.951|0.029|0.894|
|Soybean oil|92|-0.007|-0.009|0.072|-0.215|0.311|0.806|7.040|0.000|0.949|
|Barley|92|-0.002|0.000|0.092|-0.215|0.287|0.266|3.823|0.139|0.432|
|Maize|92|-0.004|-0.008|0.057|-0.221|0.126|-0.385|4.705|0.003|1.000|
|Sorghum|92|-0.005|-0.006|0.058|-0.211|0.118|-0.759|4.488|0.006|0.373|
|Rice|92|-0.006|0.000|0.043|-0.127|0.143|0.128|3.996|0.236|0.982|
|Wheat|92|-0.005|-0.005|0.035|-0.121|0.068|-0.585|3.714|0.069|0.745|
|Sugar|92|-0.007|-0.017|0.133|-0.275|0.376|0.425|2.972|0.155|0.973|
|Cofee|92|-0.008|-0.006|0.068|-0.177|0.235|0.290|4.741|0.003|0.005|
|1987M07-2007M04|T|Mean|Median|SD|Min|Max|Skewness|Kurtosis|Shapiro-Wilk|Ljung-Box|
|Crude oil|238|0.005|0.014|0.085|-0.309|0.491|0.237|7.899|0.000|0.864|
|Coal|238|0.003|0.000|0.040|-0.135|0.159|0.280|5.630|0.000|0.000|
|Natural gas|238|0.006|0.005|0.139|-0.405|0.478|-0.207|4.209|0.001|0.072|
|Soybean oil|238|0.003|0.002|0.053|-0.117|0.261|0.826|5.764|0.000|0.970|
|Barley|238|0.004|0.001|0.059|-0.203|0.283|0.115|6.365|0.000|0.001|
|Maize|238|0.003|0.004|0.054|-0.244|0.298|0.073|8.104|0.000|1.000|
|Sorghum|238|0.003|0.000|0.057|-0.180|0.342|0.720|8.689|0.000|1.000|
|Rice|238|0.002|0.003|0.055|-0.242|0.235|0.195|6.395|0.000|0.017|
|Wheat|238|0.003|0.000|0.051|-0.151|0.179|0.285|3.946|0.007|0.002|
|Sugar<br>|238|0.002|0.007|0.078|-0.230|0.283|0.226|3.531|0.311|0.007|
|Cofee|238|0.000|-0.005|0.082|-0.353|0.423|0.684|7.151|0.000|0.060|
|2007M05-2013M05|T|Mean|Median|SD|Min|Max|Skewness|Kurtosis|Shapiro-Wilk|Ljung-Box|
|Crude oil|73|0.006|0.021|0.089|-0.335|0.187|-1.484|6.486|0.000|0.005|
|Coal|73|0.006|0.005|0.093|-0.329|0.364|-0.002|6.725|0.001|0.709|
|Natural gas|73|-0.009|-0.025|0.117|-0.301|0.375|0.598|3.987|0.092|0.680|
|Soybean oil|73|0.005|0.008|0.064|-0.278|0.117|-1.244|6.864|0.000|0.991|
|Barley|73|0.005|0.011|0.079|-0.279|0.233|-0.411|5.213|0.003|0.016|
|Maize|73|0.009|0.004|0.074|-0.245|0.220|-0.251|4.679|0.082|0.979|
|Sorghum|73|0.008|0.017|0.078|-0.278|0.254|-0.517|5.324|0.007|0.472|
|Rice|73|0.007|-0.004|0.079|-0.175|0.423|2.331|13.029|0.000|0.996|
|Wheat|73|0.007|0.006|0.088|-0.219|0.229|0.375|3.750|0.075|0.966|
|Sugar|73|0.008|-0.001|0.083|-0.308|0.197|-0.312|4.794|0.026|0.736|
|Cofee|73|0.003|0.002|0.054|-0.148|0.121|-0.170|3.092|0.927|0.977|

Note. Price returns are computed as ln _Pm,t −_ ln _Pm,t−_ 1, where _Pm,t_ is the nominal price of commodity _m_ at time _t_ . Prices are measured in nominal terms. T stands for the number of monthly time observations. SD stands for standard deviation. The Shapiro-Wilk column reports the p-value of the Shapiro-Wilk test (the null hypothesis is that the series of returns has a normal distribution). The Ljung-Box column reports the p-value of the Ljung-Box test (the null hypothesis is that there is no autocorrelation in the series of squared returns up to twelve lags).

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