Commodity-price comovement and global economic activity
By Ron Alquist, Saroj Bhattarai, Olivier Coibion. Journal of Monetary Economics, 2020
176 citations recorded by the source corpus.
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide the factors with an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/37a65c1279cf4994531999641bc1885e8c792212
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In Economics and Econometrics
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Citations in the corpus
- Common Factors of Commodity Prices † (2018, methodology): “Kilian (2012), Real-Time Forecasts of the Real Price of Oil, Journal of Business and Economic Statistics, 30(2), 326-336.”
- Energy Markets and Global Economic Conditions (2020, methodology): “Real commodity price factor: Alquist et al. (2020), Delle Chiaie et al. (2022), and West and Wong (2014) extract a global factor from a large cross-section of monthly real commodity prices.”
- Forecasting: theory and practice (2020, background): “kets. Byrne et al. (2013) is an early reference for co-movement of commodity prices followed by Daskalaki et al. (2014) on common factors of commodity future returns and then a very recent paper from Alquist et al. (2020) who link global economic activity with commodity price co-movement. The impact”