期刊
JOURNAL OF DEVELOPMENT ECONOMICS
卷 101, 期 -, 页码 16-26出版社
ELSEVIER
DOI: 10.1016/j.jdeveco.2012.09.002
关键词
Commodity prices; Panel estimation; Factor models
类别
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, we 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 the co-movement of commodity prices. (C) 2012 Elsevier B.V. All rights reserved.
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