期刊
JOURNAL OF APPLIED ECONOMETRICS
卷 37, 期 3, 页码 461-476出版社
WILEY
DOI: 10.1002/jae.2887
关键词
block structure; commodity prices; comovement; factor models
This paper finds that the majority of fluctuations in commodity prices can be well summarized by a single global factor, which is closely related to fluctuations in global economic activity and has become more important in explaining variations in commodity prices since the early 2000s.
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 component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and, since the early 2000s, has become more important in explaining variations in commodity prices.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据