Complex Principle Component Analysis on Dynamic Correlation Structure in Price Index Data

AbstractWe carry out multivariate time series analysis on price indices of individual goods and services collected over the last 35 years in Japan. Adoption of the complex principal component analysis (CPCA) enables us to have a new insight into dynamic correlation structure involved in the price data. The CPCA is based on complexification of real data using the Hilbert transformation; lead-lag relations between individual prices manifest in a form of instantaneous phases of the complex time series. The correlation matrix in the CPCA is purified by adopting the random matrix theory as a null hypothesis for removal of statistical noises. We identify four significant eigenmodes for price movement which are free from seasonal variations. Each of them has different characteristics of dynamical correlations and is shown to be responsive to different economic events

Los precios de café en la producción y las exportaciones a nivel mundial

Para analizar el efecto de los precios de los grupos de café clasificados por la Organización Internacional del Café (OIC), así como los precios de la bolsa de valores de Nueva York y de Londres, en la producción y las exportaciones del aromático. Se elaboraron dos modelos que fueron estimados mediante regresión de componentes principales. Para verificar la relación de la producción mundial se usaron como variables explicativas la exportación y los distintos precios; para el caso de las exportaciones fueron la producción y los precios. Se concluyó que la cantidad producida de café tiene una relación inversa con las exportaciones del producto y directa con los precios de robusta y de la bolsa de futuros de Londres; en cambio para las exportaciones fueron los precios futuros de la bolsa de Nueva York, el de los naturales brasileños y el de otros suaves. Es decir, los precios internacionales fueron los que influyeron en mayor medida en la variabilidad de la producción mundial y las exportaciones de café.(Coffee prices in production and exports worldwide)To analyze the effect of prices of coffee groups classified by the International Coffee Organization (ICO), as well as the prices of the New York and London stock exchanges on the production and exports of coffee, two models were developed and estimated by principal component regression. Export and different prices were used as explanatory variables to verify the relation of world production. In the case of exports, production and prices were used. It was concluded that the quantity of coffee produced has an inverse relationship with the exports of the product and a direct relationship with the prices of Robusta and of the London futures exchange; while for exports, it was the future prices of the New York stock exchange, those of Brazilian natives, and that of others. This means that the international prices were those that influenced, to a greater extent, the variability of world production and coffee exports