6533b86ffe1ef96bd12cdf30
RESEARCH PRODUCT
Primary commodity prices: co-movements, common factors and fundamentals
Joseph ByrneGiorgio FazioGiorgio FazioNorbert FiessNorbert Fiesssubject
Economics and EconometricsSpot contractSupply shockFinancial economicsmedia_common.quotation_subjectCommodity prices Panel estimation Factor modelsjel:E30DevelopmentRelative priceCommodity Prices Panel Estimation Factor Modelsjel:F00Interest rateCommodity price indexEconomicsEconometricsCapital asset pricing modelEmerging MarketsMarkets and Market AccessCommoditiesCurrencies and Exchange RatesE-BusinessReal interest rateFutures contractmedia_commondescription
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, the authors 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 co-movement of commodity prices.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2011-02-01 |