Commodity-Price Comovement and Global Economic Activity

Ron Alquist, Saroj Bhattarai and Olivier Coibion

No 20003, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Guided by a macroeconomic model in which commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide the factors with an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.

JEL-codes: E3 F4 (search for similar items in EconPapers)
Date: 2014-03
New Economics Papers: this item is included in nep-mac and nep-opm
Note: EFG IFM ME
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Citations: View citations in EconPapers (17)

Published as Ron Alquist & Saroj Bhattarai & Olivier Coibion, 2019. "Commodity-Price Comovement and Global Economic Activity," Journal of Monetary Economics, .

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Related works:
Journal Article: Commodity-price comovement and global economic activity (2020)
Working Paper: Commodity Price Co-Movement and Global Economic Activity (2014)
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