Common factors of commodity prices

Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone

Research Bulletin, 2018, vol. 51

Abstract: There is a strong co-movement in the prices of international commodities. This is explained by a single common factor that is closely related to fluctuations in global economic activity. The common factor, which is indicative of global demand pressures, explains a large share of commodity price fluctuations, and its importance has increased since the early 2000s, especially for oil and metal prices. JEL Classification: C51, C53, Q02

Keywords: co-movement; commodity prices; global demand (search for similar items in EconPapers)
Date: 2018-10
Note: 753337
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Common Factors of Commodity Prices (2018)
Working Paper: Common Factors of Commodity Prices (2017)
Working Paper: Common factors of commodity prices (2017)
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