Arbeitspapier
Global commodity cycles and linkages a FAVAR approach
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included in a FAVAR model together with selected macroeconomic variables, which have been associated with developments in commodity prices. Impulse response functions confirm that exchange rates and of economic activity affect individual nonenergy commodity prices, but we fail to find strong spillovers from oil to non-oil commodity prices or an impact of the interest rate. In addition, we find that individual commodity prices are affected by common trends captured by the food and metals factors.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1170
- Klassifikation
-
Wirtschaft
- Thema
-
commodity prices
Exchange Rates
FAVAR
Globalisation
Oil Price
Ölpreis
Rohstoffpreis
Schock
Wechselkurs
Globalisierung
VAR-Modell
Welt
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lombardi, Marco J.
Osbat, Chiara
Schnatz, Bernd
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lombardi, Marco J.
- Osbat, Chiara
- Schnatz, Bernd
- European Central Bank (ECB)
Entstanden
- 2010
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