Common factors of commodity prices

Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone

No 2112, Working Paper Series from European Central Bank

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. JEL Classification: C51, C53, Q02

Keywords: commodity prices; dynamic factor models; forecasting (search for similar items in EconPapers)
Date: 2017-11
New Economics Papers: this item is included in nep-ene and nep-opm
Note: 753337
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Citations: View citations in EconPapers (51)

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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:ecb:ecbwps:20172112

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