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by Delphine Lautier & Franck Raynaud
This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk tio appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between commodities and other financial assets. In such a high dimensional analysis, the graph theory enables us to understand the dynamic behavior of our price system. We also establish that crude oil is itself at the center of the energy complex. Further, we provide evidence that commodity markets are becoming more integrated over time.