Primary commodity prices: co-movements, common factors and fundamentals

Joseph Byrne, Giorgio Fazio and Norbert Fiess

No 5578, Policy Research Working Paper Series from The World Bank

Abstract: The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.

Keywords: Emerging Markets; Markets and Market Access; Commodities; Currencies and Exchange Rates; E-Business (search for similar items in EconPapers)
Date: 2011-02-01
New Economics Papers: this item is included in nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

Downloads: (external link)
http://www-wds.worldbank.org/external/default/WDSC ... ered/PDF/WPS5578.pdf (application/pdf)

Related works:
Journal Article: Primary commodity prices: Co-movements, common factors and fundamentals (2013)
Working Paper: Primary commodity prices: co-movements, common factors and fundamentals (2010)
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: https://EconPapers.repec.org/RePEc:wbk:wbrwps:5578

Access Statistics for this paper

More papers in Policy Research Working Paper Series from The World Bank 1818 H Street, N.W., Washington, DC 20433. Contact information at EDIRC.
Bibliographic data for series maintained by Roula I. Yazigi ().