Common factors of commodity prices

Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone

Journal of Applied Econometrics, 2022, vol. 37, issue 3, 461-476

Abstract: In this paper, we extract latent factors from a large cross‐section of commodity prices, including fuel and non‐fuel commodities. We decompose each commodity price series into a global (or common) component, block‐specific components, and a purely idiosyncratic component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and, since the early 2000s, has become more important in explaining variations in commodity prices.

Date: 2022
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Citations: View citations in EconPapers (31)

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https://doi.org/10.1002/jae.2887

Related works:
Journal Article: Common factors of commodity prices (2018)
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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