Co-movements in commodity prices: Global, sectoral and commodity-specific factors

Libo Yin () and Liyan Han

Economics Letters, 2015, vol. 126, issue C, 96-100

Abstract: This paper characterizes the co-movements in commodity prices with a dynamic latent factor model that decomposes commodity returns into global, sectoral, and idiosyncratic components. The results indicate that global and sectoral factors are important sources of co-movements in commodity returns. A sub-sample analysis further reveals that the global factor increases significantly in importance since 2004, which indicates an increasing integration among commodity markets.

Keywords: Commodity returns; Co-movements; Dynamic latent factor model; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C32 E30 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:126:y:2015:i:c:p:96-100

DOI: 10.1016/j.econlet.2014.11.027

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