Economics at your fingertips  

Commodity Price Co-movement: Heterogeneity and the Time Varying Impact of Fundamentals

Joseph Byrne (), Ryuta Sakemoto and Bing Xu ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper extends the topical literature on the co-movement and determinants of primary commodity prices, by considering heterogeneity in commodities and time variation in the impact of fundamentals. We account for heterogeneity by employing a dynamic hierarchical factor model, which decomposes commodities into global and sectoral factors. Using a time varying parameter factor augmented VAR model, we shock global and sector-specific factors over time. We present plausible impulse responses to demand shocks, real interest rate shocks, and to elevated risks during the global financial crisis. We also identify that materials, food and metals respond heterogeneously to these shocks.

Keywords: Commodity Prices; Co-movement; Dynamic Hierarchical Factor Models; Time Varying Parameter Factor Augmented VAR. (search for similar items in EconPapers)
JEL-codes: E3 F3 F4 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-agr and nep-mac
Date: 2017-07-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link) original version (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:

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

Page updated 2019-10-10
Handle: RePEc:pra:mprapa:80791