What Makes Commodity Prices Move Together? An Answer From A Dynamic Factor Model

Roberto Esposti

No 260889, 2017 International Congress, August 28-September 1, 2017, Parma, Italy from European Association of Agricultural Economists

Abstract: This paper aims to investigate the common movement of commodity prices. Two alternative hypotheses explaining the origin and nature of this common movement are put forward: the interdependence and the common latent factor hypotheses. This latter is assessed by specifying a DF/FAVAR model whose latent factors move around a zero-mean short-term level and a non-stationary long-run equilibrium level, respectively. Four heterogeneous and mostly unrelated commodities are considered (crude oil, copper, wheat, beef). Using IMF monthly prices over the 1980:1-2016:4 period, a Kalman Filter ML estimation is performed and results suggest that, beside the increasing price volatility, the last decade experienced a significant rise of the long-term equilibrium price. Some implications of this major result are also discussed

Keywords: Marketing (search for similar items in EconPapers)
Pages: 15
Date: 2017-08-29
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/260889/files/W ... 20Factor%20Model.pdf (application/pdf)
https://ageconsearch.umn.edu/record/260889/files/W ... l.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:eaae17:260889

DOI: 10.22004/ag.econ.260889

Access Statistics for this paper

More papers in 2017 International Congress, August 28-September 1, 2017, Parma, Italy from European Association of Agricultural Economists Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().