Common Factors of Commodity Prices

Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone

Working papers from Banque de France

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 shock. We find that the bulk of the fluctuations in commodity prices is well summarised by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining commodity price variations has increased since the 2000s, especially for oil prices.

Keywords: Commodity prices; Dynamic factor models; Forecasting. (search for similar items in EconPapers)
JEL-codes: C51 C53 Q02 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (49)

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Related works:
Journal Article: Common factors of commodity prices (2022)
Journal Article: Common factors of commodity prices (2018)
Working Paper: Common Factors of Commodity Prices (2018)
Working Paper: Common factors of commodity prices (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:645

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