Commodity-price comovement and global economic activity

Ron Alquist, Saroj Bhattarai and Olivier Coibion

Journal of Monetary Economics, 2020, vol. 112, issue C, 41-56

Abstract: Guided by a macroeconomic model with endogenous commodity prices, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.

Keywords: Commodity prices; Factor models; Business cycles (search for similar items in EconPapers)
JEL-codes: E3 F4 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (79)

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Related works:
Working Paper: Commodity Price Co-Movement and Global Economic Activity (2014)
Working Paper: Commodity-Price Comovement and Global Economic Activity (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:112:y:2020:i:c:p:41-56

DOI: 10.1016/j.jmoneco.2019.02.004

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