Arbeitspapier
Commodity price co-movement and global economic activity
Guided by a macroeconomic model in which non-energy 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.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2014-32
- Classification
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Wirtschaft
- Subject
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Economic models
International topics
- Event
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Geistige Schöpfung
- (who)
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Alquist, Ron
Coibion, Olivier
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
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2014
- DOI
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doi:10.34989/swp-2014-32
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Alquist, Ron
- Coibion, Olivier
- Bank of Canada
Time of origin
- 2014
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