Common Factors of Commodity Prices

Domenico Giannone, Laurent Ferrara and Simona Delle Chiaie

No 12767, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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 uctuations in commodity prices is well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining variations in commodity prices has increased since the beginning of the 2000s, especially for oil.

Date: 2018-03
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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 (2017)
Working Paper: Common factors of commodity prices (2017)
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