Arbeitspapier
Common factors of commodity prices
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.
- ISBN
-
978-92-899-3026-0
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2112
- Klassifikation
-
Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
Commodity Markets
- Thema
-
commodity prices
dynamic factor models
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Delle Chiaie, Simona
Giannone, Domenico
Ferrara, Laurent
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2017
- DOI
-
doi:10.2866/116302
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Delle Chiaie, Simona
- Giannone, Domenico
- Ferrara, Laurent
- European Central Bank (ECB)
Entstanden
- 2017
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