Common Factors of Commodity Prices †

By S. D. Chiaie, Laurent Ferrara, Domenico Giannone. Journal of applied econometrics, 2018

110 citations recorded by the source corpus.

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 shock. We find that the bulk of the uctuations in commodity prices is well summarized by a single global factor. This global factor is closely related to fluctuations in global economic activity and its importance in explaining variations in commodity prices has increased since the beginning of the 2000s, especially for oil.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/85bd3c9d8b199629b438e5e53167506c2068da1c

Citations in the corpus

• A Model of the Fed's View on Inflation (2017, unknown): “An important question is whether the energy price cycle reflects global demand and commodity price cycles, as suggested, for example, by Delle Chiaie et al. (2018).”