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Commodity prices and global economic activity

Akito Matsumoto, Andrea Pescatori and Xueliang Wang

Japan and the World Economy, 2023, vol. 66, issue C

Abstract: Commodity prices provide useful information about current and future global economic activity. First, we show that overall commodity prices indeed tend to comove with economic activity. Second, we try to extract the global demand factor(s) using many commodity prices. While commodity prices reflect both demand and supply factors, by relying on a wide variety of commodity prices, supply shocks can be filtered out as they tend to be commodity-specific idiosyncratic shocks except for widespread supply disruptions confined to a few historical periods. In this paper, we then show that factors extracted from commodity prices movement contain useful information to nowcast and forecast global GDP and industrial production.

Keywords: Global outlook; Forecasting; Commodity prices (search for similar items in EconPapers)
JEL-codes: C53 F01 Q02 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:japwor:v:66:y:2023:i:c:s0922142523000038

DOI: 10.1016/j.japwor.2023.101177

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